Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how turning points affect the performance of a trend following strategy.
Quote of the Day
"It’s not really possible to design a strategy or run a fund that is tax optimal for everyone."
(Breaking the Market)
Chart of the Day
The overnight anomaly shows up in the SPDR Gold Trust ($GLD) as well.
Data
- Futures data and equity data are different. (priceactionlab.com)
- ActiveShare.info has gotten an upgrade. (riaintel.com)
Value
- Why no single measure can accurately capture a company's valuation. (researchaffiliates.com)
- Why the B/P ratio is no longer sufficient to identify value stocks. (alphaarchitect.com)
Macro
- At what point do negative demographics, i.e. falling populations, affect financial markets? (blogs.cfainstitute.org)
- How to predict government bond yields using economic data. (alphaarchitect.com)
Factors
- On the relationship between earnings accruals and momentum. (alphaarchitect.com)
- Size on its own isn't much of a factor. (institutionalinvestor.com)
Research
- THIS is the single, most influential factor that drives equity returns. (mailchi.mp)
- Why performance-based fees don't mesh well with systematic strategies. (institutionalinvestor.com)
- Research into how changes in the language of public filings affect stock prices. (quantpedia.com)
- News sentiment is not 100% correlated with the stock market. (mrzepczynski.blogspot.com)
