Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at the danger of using small sample sizes.
Quote of the Day
"Many market participants get confused by simple corporate events and struggle with basic math. If they can’t handle splits, what else are they getting wrong?"
(Owen Lamont)
Asset pricing
- The CAPM doesn't work. Maybe this measure does. (klementoninvesting.substack.com)
- Brown stocks outperform green stocks. (alphaarchitect.com)
Hedge funds
- Replicating multi-strategy hedge fund returns is kind of a waste. (insights.finominal.com)
- Do even failed activist investors help stock prices? (klementoninvesting.substack.com)
Quant stuff
- More research is being done on the interaction between social media and market outcomes. (investmentecosystem.com)
- What is machine learning? (quantamagazine.org)
Research
- American stocks are much more liquid than the rest of the world. (mailchi.mp)
- Another way of thinking about correlation in markets. (mrzepczynski.blogspot.com)
- Japanese stocks trade at a discount to U.S. stocks. (alphaarchitect.com)
- When trend following, trade more markets. (mrzepczynski.blogspot.com)
- A closer look at quality factor ETFs. (kitces.com)
- How budget deficits affect Treasury yields. (klementoninvesting.substack.com)
- People underestimate their emergency savings needs. (alphaarchitect.com)
