Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how to combine momentum strategies.
Quote of the Day
"When you sell an option, you don’t earn income. You just bet against some future state of the world."
(Kris Abdelmessih)
Institutions
- Endowment fund are essentially equity funds. (papers.ssrn.com)
- Pension funds extrapolate past trends. (papers.ssrn.com)
Earnings
- The universe of stocks where earning revisions work is relatively small. (blog.validea.com)
- More earnings data is now hidden in footnotes. (institutionalinvestor.com)
- Intangibles have only grown in importance as a factor. (klementoninvesting.substack.com)
Round-ups
- A round of November's white papers including 'Alternative investments: The essential buyer’s guide.' (bpsandpieces.com)
- A round-up of recent research on cryptocurrencies including 'Does Bitcoin Behave Like a Commodity?' (capitalspectator.com)
Research
- Can prospect theory help explain the value and momentum factors? (alphaarchitect.com)
- There is no single, perfect, measure of investment returns. (breakingthemarket.com)
- Professional investors are just as prone to the disposition effect. (evidenceinvestor.com)
- A crucial decision when it comes to using ML models. (blogs.cfainstitute.org)
- On the performance of private debt funds. (evidenceinvestor.com)
