Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at why factors work best in the small cap universe.
Quote of the Day
"Passive investing is a good idea in principle. But it relies on something that’s increasingly disappearing: active investors doing the heavy lifting."
(James Emanuel)
Round-ups
- A round-up of recent academic research including 'Dividend Capture Returns and Their Drivers: A Bayesian Analysis of Large-Cap Stocks Over 35 Years.' (alphainacademia.substack.com)
- A round-up of recent research including 'Music as an Asset Class.' (quantseeker.com)
Gold
- If you want gold exposure, just buy gold. (quantpedia.com)
- Has something fundamentally changed about gold? (fa-mag.com)
Portfolio management
- How to think about a Total Portfolio Allocation approach to portfolio management. (caia.org)
- Does maximum diversification best minimum risk? (link.springer.com)
Housing
- The winners curse in housing is real. (theconversation.com)
- How the housing market's relationship with the stock market changed post-GFC. (papers.ssrn.com)
Retail investors
- Is the value-growth spread dependent on individual investors? (klementoninvesting.substack.com)
- Actively managed ETFs have the potential to attract retail traders that open-end funds don't. (papers.ssrn.com)
Research
- What macro releases matter to investors and traders? (ft.com)
- Why holding a stock for the long run is so challenging. (alphaarchitect.com)
- Share repurchases don't discourage real investment. (marginalrevolution.com)
- A review of "Irrational Together: The Social Forces That Invisibly Shape Our Economic Behavior" by Adam S. Hayes. (blogs.cfainstitute.org)
- When immigration declines, companies do acquisitions to gain talent. (barrons.com)
- Research on why 'enshittification' happens. (papers.ssrn.com)
