Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at the long history of corporate bond spreads.
Quote of the Day
"Institutional investors have shifted a meaningful share of their equity exposure from public markets to buyout and venture capital funds since 1990. Over this period, the number of public companies in the U.S. has fallen by roughly half from its peak in the mid-1990s."
(Mauboussin and Callahan)
Quant stuff
- A roundup of recent academic research including 'Is Sector Rotation Causal? A Geometric Test of the Growth-to-Defensive Lead-Lag.' (alphainacademia.com)
- How to do sensitivity testing of a quant model. (rpc.cfainstitute.org)
- A roundup of recent academic research including 'Momentum Strategies in ETFs under Simple Operational Rules: Economic Value and Conditional Predictability.' (alphainacademia.com)
Research
- What daily stock market returns can tell us about the economy. (alphaarchitect.com)
- On the influence of being in a large firm on manager alpha. (klementoninvesting.substack.com)
- Why managers can do better than off-the-shelf academic factors. (aqr.com)
- Mauboussin and Callahan on the shift from public to private markets over time. (morganstanley.com)
- In theory, democratizing private investments won't help individual investors all that much. (papers.ssrn.com)
- Can tax-aware long-short strategies handle withdrawals? (papers.ssrn.com)
- An explanation for 'the savings glut of the rich': increased income volatility. (papers.ssrn.com)
