Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at falling option spreads.
Quote of the Day
"To earn excess profits, quantitative managers must find opportunities that elude even those with similar training. They are unlikely to achieve that goal by writing better equations."
(John Rekenthaler)
Factors
- The low beta anomaly is well-explained by other factors. (alphaarchitect.com)
- Factors work, but timing them is too hard. (evidenceinvestor.com)
Credit
- Greg Obenshain, "Low ratings, illiquidity, and opaque structures make this [leverage loans] a problematic asset class." (mailchi.mp)
- Do credit markets take into account carbon risk? (klementoninvesting.substack.com)
C-suite
- First impressions matter when it comes to M&A deals. (institutionalinvestor.com)
- Good analysts don't need to update their numbers as often. (fastcompany.com)
- Should CEOs tweet? (klementoninvesting.substack.com)
Alternatives
- A review of recent research on commodities, gold and real assets. (capitalspectator.com)
- Does trend following work with Bitcoin? (quantpedia.com)
Research
- Phil Huber, "The success of a portfolio is contingent upon the comfort of the investor holding it." (caia.org)
- "No single investor or institution has all pieces of the puzzle that is systemic risk." (sr-sv.com)
- A new one from Michael Mauboussin and Dan Callahan, "Feedback: Information as a Basis for Information." (morganstanley.com)
- Are future ESG ratings predictable? (alphaarchitect.com)
