Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the future for small cap value returns.
Value
- By just about any measure value stocks are historically cheap relative to glamour stocks. (aqr.com)
- The value drawdown feels worse because the period of 1940-2006 was so good for value. (twocenturies.com)
- Why you need to make a distinction between relative and absolute value. (alphaarchitect.com)
Factors
- Factor returns are not generated on any kind of regular schedule. (savantcapital.com)
- Do valuations matter for factor returns? Yes, but... (alphaarchitect.com)
- A comparison of ESG-level factor strategies. (quantpedia.com)
- Why you need to control for other factors when measuring the size effect. (alphaarchitect.com)
Analysts
- There's no evidence that hedge funds' 'best ideas' are all that hot. (msn.com)
- How robo-analysts recommendations differ from sell-side analysts. (wsj.com)
Research
- Robert Shiller and Burton Malkiel debate market efficiency in light of the coronavirus. (awealthofcommonsense.com)
- Why the alpha you see in fixed income is not necessarily a demonstration of skill. (evidenceinvestor.com)
- A comparison of trend following strategies shows relative performance can change on a dime. (blog.thinknewfound.com)
- Why overnight futures drift continues to exist. (klementoninvesting.substack.com)
