Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the performance of anomalies post-publication.
Quote of the Day
"The return on a leveraged long or short ETF held over time will incur a drag that increases dramatically with both leverage and realized volatility."
(Victor Haghani and James White)
Big ideas
- Maybe we really do live in a one-factor world? (twocenturies.com)
- Michael Maouboussin's latest white paper on the importance of dispersion in generating alpha. (morganstanley.com)
- There seems to be a tail-risk premium in stocks. (alphaarchitect.com)
Research
- Trend following's relative underperformance during the past decade was due to relatively muted market moves. (alphaarchitect.com)
- What role do testosterone and cortisol levels play in investment biases? (institutionalinvestor.com)
- Growth in dividends are more correlated with inflation than earnings or stock prices. (alphaarchitect.com)
- Even with insider info, US senators can't pick stocks either. (nber.org)
