Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why return capture ratios are overrated.
Quote of the Day
"We find that stocks that are likely held by retail investors have significantly higher liquidity and lower price-crash risk during the COVID-19 pandemic."
(Felix Hüfner and Jan-Oliver Strych)
Quant stuff
- A Q&A with Phil Huber author of the new book "The Allocator's Edge." (abnormalreturns.com)
- How JP Morgan Asset Management ($JPM) is using ML models. (institutionalinvestor.com)
- Recency bias shows up in sports betting as well as in markets. (evidenceinvestor.com)
Research
- Hedge fund alpha has disappeared. (evidenceinvestor.com)
- Have low interest rates helped cement the position of industry leaders? (klementoninvesting.substack.com)
- Do investors undervalue strong company brands? (alphaarchitect.com)
- Why building ESG-tilted portfolios doesn't cost more. (papers.ssrn.com)
- Who owns tobacco stocks, and why? (evidenceinvestor.com)
- Are insider shares that are not sold informative? (papers.ssrn.com)
