Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at trading costs in light of zero commissions.
Quote of the Day
"Small-growth indexes suffer from more than mere bad luck. They have an additional problem that cannot be solved by a small-growth bull market: inconsistency."
(John Rekenthaler)
Japan
- The case for a repricing of Japanese equities. (gmo.com)
- Japanese companies seem to do a better job at M&A than American counterparts. (mailchi.mp)
Factors
- Does the quality factor work within sectors? (quantpedia.com)
- The basics of the variance risk premium. (sr-sv.com)
Behavior
- We humans are bad at decision making. (mrzepczynski.blogspot.com)
- U.S. companies are becoming more politically polarized. (marginalrevolution.com)
Research
- Poor out-of-sample performance of strategies highlights the problem of overfitting in finance. (mathinvestor.org)
- Mark Rzepczynski, "Not all trend-following strategies are the same." (mrzepczynski.blogspot.com)
- HFT firms reduce their activity at the worst possible time. (papers.ssrn.com)
- A review of "Expectations Investing: Reading Stock Prices for Better Returns - Revised and Updated" by Michael J. Mauboussin and Alfred Rappaport. (blogs.cfainstitute.org)
- A round-up of recent research on inflation. (capitalspectator.com)
