Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how dollar-cost averaging strategies work.
Quote of the Day
"Correlations in the financial and investment world are never stable."
(Joachim Klement)
ESG
- The ESG push may have helped caused value stock underperformance. (papers.ssrn.com)
- Why analysts need to tune into ESG risks. (klementoninvesting.substack.com)
Quant stuff
- A round-up of recent research on financial crises including 'The Life Cycle of Systemic Risk.' (capitalspectator.com)
- Why is there a career premium for finance? (papers.ssrn.com)
- Where quant investing stands in China. (wsj.com)
ML
- How ML can be used to identify the credit of borrowers. (alphaarchitect.com)
- Can ML be used to infer missing firm characteristics? (alphaarchitect.com)
Growth-Value
- Value stocks are still cheap relative to growth stocks on a historical basis. (evidenceinvestor.com)
- The growth-value distinction has lost much of its meaning. (priceactionlab.com)
Alternatives
- How do you rebalance a portfolio full up with private investments? (institutionalinvestor.com)
- Private market information can help inform public markets. (institutionalinvestor.com)
Intangibles
- A Q&A with Kai Wu of Sparkline Capital about the importance of intangible value. (neckar.substack.com)
- Company quality cannot be directly measured. (mrzepczynski.blogspot.com)
Behavior
- Proximity equals attention. (papers.ssrn.com)
- Customers who own stock in a company spend more there. (klementoninvesting.substack.com)
- Are researchers overlooking the value of the resting pulse rate as a biometric measure of well-being? (voxeu.org)
Research
- Have the returns from moving average strategies declined? (blogs.cfainstitute.org)
- Should factor investors ex-out sector effects? (quantpedia.com)
- A big overview of stock market seasonality. (papers.ssrn.com)
- Fund managers change their benchmarks to improve relative performance. (evidenceinvestor.com)
- What credit card sales data can say about future company returns. (papers.ssrn.com)
