Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at the cost of borrowing in the option markets.
Quote of the Day
"Receiving real income from the U.S. government is an excellent proposition if yields are acceptably high. Today, they are."
(John Rekenthaler)
Trend following
- The case for medium-term trend signals. (mrzepczynski.blogspot.com)
- The problem with trend following systems: an abundance of parameters. (priceactionlab.com)
Research
- On the corporate bond factor zoo. (papers.ssrn.com)
- There is still no good explanation for momentum. (alphaarchitect.com)
- Why post-earnings drift happens. (klementoninvesting.substack.com)
- Does private credit have a return smoothing problem? (insights.finominal.com)
- Companies that struggle to meet analyst expectations skimp on R&D spending. (marginalrevolution.com)
- A round-up of recent research on market volatility. (capitalspectator.com)
- Do looks matter for academic economists? (marginalrevolution.com)
