Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at the disappearance of the overnight effect.
Quote of the Day
"I think the advice to avoid market timing is, for almost everyone, quite good. But the reason to avoid it is that you’re likely bad at it and doing it without skill is actually harmful, as you are randomly deviating from a properly diversified portfolio."
(Cliff Asness)
Quant stuff
- A round-up of recent research on risk including 'Financial and Business Cycle Risk Premia.' (capitalspectator.com)
- A review of "Financial Statement Analysis for Value Investing" by Stephen Penman and Peter Pope. (blogs.cfainstitute.org)
Factors
- On the (premature) calls for the death of factor investing. (larryswedroe.substack.com)
- How to build a better momentum model. (alphaarchitect.com)
- The case for non-cap weighted indices. (papers.ssrn.com)
Private investing
- The evidence on the performance of private equity is mixed, at best. (morningstar.com)
- Fund clawback provisions are complex. (cashandcarried.substack.com)
Research
- Explaining the excess volatility puzzle. (morningstar.com)
- How changes to market macrostructure can change return patterns. (mrzepczynski.blogspot.com)
- Stocks can experience bigger drawdowns than you can likely handle. (ft.com)
- There are limits to how much high-frequency traders can make. Hence the desire to launch a hedge fund. (ft.com)
- What is Total Portfolio Approach? A summary. (papers.ssrn.com)
- What happens when you combine FX carry and value? (mailchi.mp)
- How divesting pollutive plants could actually backfire for the environment. (alphaarchitect.com)
