Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at what has happened after the value factor peaked.
Quote of the Day
"In the back of your mind, the modeler should always have the trade-off graph between complexity and error."(Mark Rzepczynski)
Chart of the Day
The past decade has been green for U.S. equities.
- Pension fund managers chase returns just like everyone else. (mailchi.mp)
- Oh boy. Investors react to Groundhog Day announcements. (sciencedirect.com)
- How various factors performed in 2021. (insights.factorresearch.com)
- How much of the return to momentum is due to exposure other factors? (alphaarchitect.com)
- When accounting standards change, quants take a hit to performance. (evidenceinvestor.com)
- The cost of illiquidity is related to the opportunity cost. (alphaarchitect.com)
- Why market regimes matter. (sr-sv.com)