Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at how retail traders are using sophisticated trading models.
Quote of the Day
"If most clients are better off simplifying their portfolios, replacing active managers with low-cost index funds, and avoiding alternative asset classes, then the current investment consulting business model is obsolete."
(Mark J. Higgins)
Momentum
- Does the distance between 21- and 200-day moving averages help predict equity returns? (alphaarchitect.com)
- Design matters a lot when it comes to CTA momentum-style strategies. (quantpedia.com)
Quant stuff
- How to calculate the risk-free rate implicit in options prices. (papers.ssrn.com)
- Counterparty risk is real in markets and sports betting. (bloomberg.com)
ESG
- Are investors in low ESG scoring companies paid a premium? (morningstar.com)
- ESG investment as a luxury good. (papers.ssrn.com)
Equities
- High beta stocks see a lot of action on big macroeconomic announcement days. (papers.ssrn.com)
- Hard-to-borrow stocks have worse performance. (verdadcap.com)
- Why investors need to know who they are palling around with. (klementoninvesting.substack.com)
Research
- Are rising interest rates good for factor investors? (ft.com)
- Earnings yields-real bond yields are historically low right now. (klementoninvesting.substack.com)
- High growth doth not a strong stock market make. (verdadcap.com)
- The explanatory value of the yield curve varies widely across countries. (econbrowser.com)
- On the dangers of the naive use of Monte Carlo simulations. (insights.finominal.com)