Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out including a look at how trend following works.
Quote of the Day
"Most records in the market depend on the metric under consideration. When the metric changes, the performance changes, and records can vanish."
(Michael Harris)
Factors
- How much of factor research is dependent on falling interest rates? (papers.ssrn.com)
- Why you should expect the value premium to persist over time. (evidenceinvestor.com)
Correlations
- There is no magic bullet when forecasting the stock-bond correlation. (quantpedia.com)
- CTA returns with the stock market can vary wildly over the short term. (priceactionlab.com)
ESG
- A review of the case for ESG strategies. (alphaarchitect.com)
- ESG fund managers engage less in sketchy behavior. (klementoninvesting.substack.com)
- How much do investors care about social responsibility? (papers.ssrn.com)
- Why we need more impactful ESG data. (institutionalinvestor.com)
Research
- Why trade Bitcoin when you can trade the Nasdaq. (dualmomentum.net)
- Which defensive assets perform best when the S&P is down? (allocatesmartly.com)
- Commission rates have a big effect on retail trading behavior. (papers.ssrn.com)
- Do women-managed mutual funds vote differently? (papers.ssrn.com)
- Do investors underestimate the value of brands? (klementoninvesting.substack.com)
- Carbon credits as a portfolio diversifier. (papers.ssrn.com)