Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at the history of factor investing.
Quote of the Day
"Risk-conscious investing is best described as a mentality. It is the perpetual process of thinking outside the box about the range of possibilities facing economies and markets, hedging crucial risks when we can, and fortifying portfolios against the many risks we cannot foresee."
(Matt Tracey)
Research
- Is the stock market predictable? Once in awhile for short periods of time. (alphaarchitect.com)
- Some evidence that indexing makes markets less efficient. (nber.org)
- How have risk parity funds weathered the past couple of years? (markovprocesses.com)
- What explains the 'distress risk premium'? (alphaarchitect.com)
- A round-up of recent research papers including 'We’re Not So Different, High Yield Bonds and Leveraged Loans.' (bpsandpieces.com)
- Five ETF-related research papers from 2023 worth a look including 'Rise of Passive Investing - Effects on Price Level, Market Volatility, and Price Informativeness.' (etf.com)