Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the bundle of factor bets that are thematic ETFs.
Quote of the Day
"An inverted yield curve doesn’t cause a recession. It conveys market expectations that there is higher potential for one in the future. And the market is very smart, so it is usually right."
(Jack Forehand)
Behavior
- Personal experience affects market forecasts. (papers.ssrn.com)
- The death of a close friend induces a reduction in savings. (papers.ssrn.com)
Aging
- Loss aversion increases with age. (klementoninvesting.substack.com)
- How an aging population affects the risk free rate and the equity risk premium. (nber.org)
Quant stuff
- A round-up of recent research on risk factor premia. (capitalspectator.com)
- A nice review of Antti Ilmanen's new book “Investing Amid Low Expected Returns: Making the Most When Markets Offer the Least.” (twocenturies.com)
Research
- Some evidence that stocks lead corporate bonds. (papers.ssrn.com)
- What are we take make of the value stock dislocation? (canvas.osam.com)
- ETF intermediaries don't have unlimited capital to put at-risk. (alphaarchitect.com)
- Some signs of insider trading on SPAC merger deals. (bloomberg.com)
- Cryptocurrencies aren't correlated with major asset classes, until they aren't. (morningstar.com)
- What to do when ESG ratings disagree? (papers.ssrn.com)
