Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at the state of momentum research 30 years in.
Quote of the Day
"This is why diversification is ultimately an ongoing battle against relative underperformance. Brian Portnoy said it best when he wrote, “Diversification means always having to say you’re sorry.” And it’s so true."
(NIck Maggiulli)
Quant stuff
- Good luck trying to explain ML models. (mrzepczynski.blogspot.com)
- A round-up of recent research on return expectations including 'Inflation Expectations and Stock Returns.' (capitalspectator.com)
Earnings
- Using AI to suss out future earnings surprises. (klementoninvesting.substack.com)
- People like working for companies that beat Wall Street earnings expectations. (papers.ssrn.com)
Research
- The hardest part of 'buy and hold' is holding. (priceactionlab.com)
- Why 'stocks for the long run' may be built on less then great data. (tandfonline.com)
- How do state tax hikes affect municipal bond yields? (papers.ssrn.com)
- People treat crypto like other financial assets. (papers.ssrn.com)
- Why large banks pay lower deposit rates than smaller banks. (nber.org)
