Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the difference between machine learning and deep learning.
Quote of the Day
"You and I buy stocks during the day because a) that is when markets are open, and 2) we expect prices to rise over years and decades; we don’t buy because we expect a higher print by 4 pm."
(Barry Ritholtz)
Books
- Ten good books about statistics including "The Art of Statistics" by David Spiegelhalter. (timharford.com)
- An excerpt from Christopher Schellling's book "Better than Alpha: Three Steps to Capturing Excess Returns in a Changing World." (institutionalinvestor.com)
Quant stuff
- What constitutes the 'long run' when it comes to financial data? (klementoninvesting.substack.com)
- Overfitting and the post-hoc probability fallacy. (mathinvestor.org)
Diversity
- Companies led by female CEOs are more likely to be targeted by activists. (wsj.com)
- The role race plays in portfolio decision making. (papers.ssrn.com)
- The gender gap in academic finance is still wide. (alphaarchitect.com)
Factors
- Factors can perform differently in bull and bear markets. (quantpedia.com)
- This hypothesis seems to best explain the momentum factor. (alphaarchitect.com)
- Why factor diversification is important in bear markets. (mrzepczynski.blogspot.com)
- Value stocks have a bigger, negative loading on momentum than originally thought. (alphaarchitect.com)
Research
- Stocks favored by retail traders really do have more crash risk. (evidenceinvestor.com)
- You can't talk about tail risk hedges without talking about their costs. (breakingthemarket.com)
- How risk parity strategies generate a rebalancing premium. (investresolve.com)
- An introduction to dollar-cost averaging strategies. (quantpedia.com)
- Beware the hype when it comes to AI-powered ETFs. (insights.factorresearch.com)
- The Fed does pay attention to the stock market. (alphaarchitect.com)
