Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at mining credit card data for alpha.
Quote of the Day
"I would say that alpha creation, especially when it comes to large scalable funds or strategies, is largely a myth."
(Dennis Davitt)
ESG
- Historically good companies to work for have been good investments. (advisorperspectives.com)
- How financial markets respond to climate risks. (alphaarchitect.com)
- Why ESG ratings are no way to run a portfolio. (ft.com)
- Stock markets in autocratic countries experience lower returns and more risk. (evidenceinvestor.com)
Research
- How time horizon affects your choice of factors. (capitalspectator.com)
- How you define 'value' matters. (blog.validea.com)
- Thematic managers may have an information advantage. (papers.ssrn.com)
- Managed futures managers have diluted their strategies over time. (aqr.com)
- Why passive equity ownership is higher than commonly thought. (alphaarchitect.com)
- Retail stock execution costs vary across brokers. (papers.ssrn.com)
