Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how random outcomes can cause wealth inequality.
Quote of the Day
"In the face of all the evidence, it is difficult to make the case that active share has any predictive value in terms of future risk-adjusted outperformance."
(Larry Swedroe)
Chart of the Day
The days around options expiration is having a disproportionate effect on markets.
Short selling
- Cliff Asness, "If shorts have no impact, why does corporate management famously hate and fear them so much?" (aqr.com)
- The battle over short-selling academic research is getting heated. (institutionalinvestor.com)
Research
- A look at "The Myth of Diversification Reconsidered" by Kinlaw, Kritzman, Page and Turkington. (alphaarchitect.com)
- When sector neutrality matters, and when it doesn't. (klementoninvesting.substack.com)
- Are insider 'non-sales' informative? (cfainstitute.org)
- Did the private equity industry grow build on the back of falling interest rates? (voxeu.org)
- A review of "Better than Alpha: Three Steps to Capturing Excess Returns in a Changing World" by Christopher M. Schelling. (blogs.cfainstitute.org)
- Where ETF tax efficiency can go wrong. (alphaarchitect.com)
