Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out including a look at why some countries may simply be uninvestable.
Quote of the Day
"If you are not satisfied with market returns, then the buyer of individual stocks must, somewhere deep down, want to perform above average; it’s why they pick stocks."
(Conor Mac)
Quant stuff
- How investment professionals can use ChatGPT. (blogs.cfainstitute.org)
- Be careful when using dual-axis charts. (flowingdata.com)
- Sign-up is still open or the 2023 Democratize Quant virtual conference is still open. (alphaarchitect.com)
Startups
- Mutual funds seem to overvalue their stakes in private startups. (papers.ssrn.com)
- Early joiners have a big effect on startup outcomes. (papers.ssrn.com)
Factors
- A downside to a low volatility strategy. (papers.ssrn.com)
- What drives the performance of equal-weighted indices? (morningstar.com)
- Another example of a momentum effect in a new data set. (papers.ssrn.com)
- A strategy that reduces the impact of momentum crashes. (alphaarchitect.com)
- What's the rise dose, i.e. number of stocks, to maximize factor returns? (mailchi.mp)
Research
- Measuring stock returns, ex-cash. (papers.ssrn.com)
- Why skew matters when building portfolios. (mrzepczynski.blogspot.com)
- Why you should always test models in different markets. (klementoninvesting.substack.com)
- Why unconditional correlations can be misleading. (mrzepczynski.blogspot.com)
- More evidence that you should avoid online stock picks. (papers.ssrn.com)
- How to use box spreads to lend (and borrow) money in the options market. (alphaarchitect.com)
- The happiness research on men and women is nuanced. (nber.org)
