Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether the overnight S&P 500 anomaly has finally disappeared.
Quote of the Day
"The most loved innovators have not outperformed the market over the past century, simply because they didn’t need to in order to attract capital."
(Brian Chingono)
Research
- Why haven't trend followers done better in 2020? (mrzepczynski.blogspot.com)
- Intangible assets have blown a hole in the traditional value factor. (klementoninvesting.substack.com)
- How prospect theory helps to explain return anomalies. (alphaarchitect.com)
- What happens when you add a one-day lag to TAA strategies? (allocatesmartly.com)
- What do target date funds imply about changing risk aversion as we age? (privpapers.ssrn.com)
- How television ads prompt searches for investment information. (clsbluesky.law.columbia.edu)
- MAN Group on the explosion of alternative data. (man.com)
- Some recent research on tail risk. (capitalspectator.com)
