Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at the crash risks of crowded trades.
Quote of the Day
"Factors aren’t laws of physics, but they are a handy framework for understanding markets."
(Robin Wigglesworth)
Chart of the Day
Value factor exposure varies widely among value (and non-value) funds.
Asset management
- Big asset managers get paid on AUM, not performance. (papers.ssrn.com)
- A primer on private credit. (sapientcapital.com)
- How the ETF came to be. (institutionalinvestor.com)
Macro
- There seems to be a macroeconomic announcement premium. (papers.ssrn.com)
- What effect do demographics have on real interest rates? (papers.ssrn.com)
- Media (economic) sentiment has gotten increasingly negative over the past 50 years. (papers.ssrn.com)
Households
- How market moves affect household investment behavior. (papers.ssrn.com)
- Do ESG disclosures affect consumer behavior? Only mildly... (papers.ssrn.com)
Research
- Kai Wu, "Trademarks provide a useful tool for finding strong brands." (sparklinecapital.com)
- Just how useful is capital markets data from the 19th century? (morningstar.com)
- Insider buys are more informative than insider sells. (papers.ssrn.com)
- Institutional investors sniff out deals which are accretive to the acquirer. (papers.ssrn.com)
- The case for more 'behind the scenes' small cap activism. (blogs.cfainstitute.org)
- A review of recent research on fail-tailed distributions. (capitalspectator.com)