Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why insider trading isn’t just for M&A any more.
Quote of the Day
"The price of BTC is nearly certainly a bubble and likely manipulated. Investors should proceed with extreme caution."
(Alex Pickard)
Rates
- How to interpret TIPS breakeven spreads. (econbrowser.com)
- Real interest rates can no longer be estimated on a country-by-country basis. (klementoninvesting.substack.com)
Quant stuff
- Michael Harris, "Traders and investors should be very careful with charts involving claims that cannot be verified." (priceactionlab.com)
- Institutional investors haven't given up on quant yet. (institutionalinvestor.com)
- When should you consider throwing out your model? (mrzepczynski.blogspot.com)
- Prof. Campbell Harvey named '2020 Quant of the Year' by The Journal of Portfolio Management. (pm-research.com)
Resarch
- Why isn't there more research on the impact of taxes on taxable investors? (aqr.com)
- Just how safe are stocks over the long run? (papers.ssrn.com)
- Do factors proxy for fundamental risks? (alphaarchitect.com)
- Some more on the overnight stock market returns effect. (systematicindividualinvestor.com)
- Private equity performance is neither reliable, replicable nor comparable. (blogs.cfainstitute.org)
