Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how to think about an inverted yield curve.
Quote of the Day
"The Sell in May rule was literally as good as a coin toss."
(Joachim Klement)
Factors
- Should factor investors go sector neutral to avoid behavioral mistakes? (alphaarchitect.com)
- Thematic ETFs are a bundle of factor bets. (klementoninvesting.substack.com)
Shortfalls
- Stock picking skills aren't sufficient to generate alpha. (evidenceinvestor.com)
- Why academic research often fails to translate into alpha. (papers.ssrn.com)
Research
- When it comes to long-only value, size doesn't matter. (papers.ssrn.com)
- How momentum and trend following are related from a factor perspective, and not. (insights.factorresearch.com)
- High leverage and high volatility is a bad combination. (elmwealth.com)
- ETF lending fees are significantly higher than stock lending fees. (alphaarchitect.com)
- The returns to SPACs has been just awful. (institutionalinvestor.com)
