Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at academic finance’s ‘file drawer problem.’
Quote of the Day
"Like stock investors during boom markets, ship owners have a strong tendency to extrapolate good fundamentals into the future and to fail to take into account that other investors are reacting in the exact same way to those fundamentals."
(Verdad)
Papers
- A review of the best white papers from December 2020 including 'A Gut Punch.' (bpsandpieces.com)
- Five of the most interesting papers from the forthcoming AFA meetings. (alphaarchitect.com)
Returns
- What drove the past two decades of US equity outperformance vs. the rest of the world? (institutional.vanguard.com)
- January market performance doesn't tell us anything we don't know about the rest of the year. (marketwatch.com)
- Should you buy all-time highs? (ofdollarsanddata.com)
Research
- An 'intangible value factor' does a better job of sorting returns in US equities over the decades. (papers.ssrn.com)
- You can't understand anomalies without understanding the constraints on institutional investors. (mrzepczynski.blogspot.com)
- Properly measured, ESG funds don't generate much in the way of alpha. (advisorperspectives.com)
- More evidence that day traders lose money. (evidenceinvestor.com)
