Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at the arguments around the Fama-French data.
Quote of the Day
"For a quant model. tell the number of bets you take and tell me the accuracy of predictions from your model."
(Mark Rzepczynski)
Behavior
- Another form of home bias at work. (klementoninvesting.substack.com)
- Is there an issue with self-reported happiness measures? (papers.ssrn.com)
Factors
- A mechanism by which quality stocks outperform. (klementoninvesting.substack.com)
- On the benefits of combining fast and slow momentum models. (alphaarchitect.com)
- Harvesting premia requires sticky capital. (papers.ssrn.com)
- Alternative risk premia are cheaper than hedge funds. (mrzepczynski.blogspot.com)
Research
- FactSet is launching “Transcript Assistant,” an AI-powered chatbot that helps users search earnings transcripts and summarize calls. (institutionalinvestor.com)
- How positive earnings news affects household spending. (papers.ssrn.com)
- Private equity may have a big problem. (mailchi.mp)
- Why we need short sellers. (alphaarchitect.com)