Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at factors that might (or not) hedge unexpected inflation.
Quote of the Day
"No matter how long you torture the data, it never tells you all the secrets you’re desperate to hear."
(James Picerno)
Indexing
- Is it a mistake to exclude dual-class shares from popular indices? (papers.ssrn.com)
- On the downsides of using non-market cap weighting schemes. (quantpedia.com)
Factors
- Investment and profitability help explain much of the outperformance of the BAB factor. (alphaarchitect.com)
- What is the future of factor investing? (alphaarchitect.com)
Research
- Innovation is not necessarily the same thing as growth. (sparklinecapital.com)
- Is there a good explanation for the 'Sell in May' phenomenon? (albertbridgecapital.com)
- Who has benefited from the boom in retail equity option trading? (papers.ssrn.com)
- Trend following can go through years of underperformance. (blog.validea.com)
- Social media makes for better analyst forecasts. (evidenceinvestor.com)
- The death of a close friend causes people to spend more money. (papers.ssrn.com)
- A review of Antti Ilmanen's new book "Investing Amid Low Expected Returns." (economist.com)
