Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the sensitivity of factor premia to interest rates.
Quote of the Day
"Ultimately, the notion that bitcoin is digital gold stems from an attempt to fit an entirely novel asset class into existing mental frameworks."
(Amy Arnott)
Chart of the Day
Great charts from @Jesse_Livermore showing how valuations, in this case, dividend yields, have shifted over time.
Quant stuff
- Quants want in on the Chinese market, due in part, to high retail participation. (ft.com)
- A review of Meb Faber's 'greatest hits.' (mebfaber.com)
ESG
- Why high ESG stocks have outperformed. (alphaarchitect.com)
- Corporate boards are getting more diverse, except for at the top. (alphaarchitect.com)
Factors
- Good luck timing return factors with macro data. (papers.ssrn.com)
- Three ways to time return factors. (blog.validea.com)
Research
- Equity weights tell us the most about target-date fund performance. (morningstar.com)
- How to build your own volatility strategy. (insights.factorresearch.com)
- Mark Rzepczynski, "Social setting for decisions matter." (mrzepczynski.blogspot.com)
- There is adverse selection in equity crowdfunding. (papers.ssrn.com)
- Some evidence in favor of the poverty trap hypothesis. (nber.org)
