Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how value has been transformed into a ‘massive bet against disruption.’
Quote of the Day
"Across many contexts, our enthusiasm for clearing out noise sometimes leads us to throw out useful—even vital—information, especially when top-down approaches dominate bottom-up contributions to define what matters."
(Ruth Schmidt)
Value
- Another look at the performance of value among the 1000 largest US stocks. (alphaarchitect.com)
- Financial professionals don't think value stocks are riskier than growth stocks. (klementoninvesting.substack.com)
- Is the theory that the value premium is a risk factor wrong? (factorresearch.com)
Research
- Great returns don't come with some scary drawdowns along the way. (alphaarchitect.com)
- The overnight market anomaly is real but it's hard to find a good explanation for it. (priceactionlab.com)
- There's very little good to say about realized risk premia returns since 2006. (factorresearch.com)
- Leverage aversion is real and explains a lot about asset pricing. (breakingthemarket.com)
- Gold anticipates inflation surges, even if they don't come about. (alphaarchitect.com)
- Looking at hedge fund indiex returns? Understand the nuances. (hedgeweek.com)
