Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at expanding the efficient frontier with value and momentum.
Research links
- Momentum crashes cannot be ignored. (investorfieldguide.com)
- Has momentum run out of steam? (philosophicaleconomics.com)
- Absolute momentum can help shift the distribution of returns...to the better. (dualmomentum.net)
- Why chasing recent performance usually ends in heartbreak. (etf.com)
- On the payoff to illiquidity. (news.morningstar.com)
- Are anomaly returns a function of risk or mispricing? Some evidence. (blog.alphaarchitect.com)
- Momentum investing pre-dates the Civil War. (theirrelevantinvestor.wordpress.com)
- Why we should take design into account when creating new investment products. (researchaffiliates.com)
- Corporate managers undertake spinoffs to "refocus" their organizations. (papers.ssrn.com)
- 10 pieces of research practitioners should check out from 2015. (blogs.cfainstitute.org)
- Avoid companies with CFOs with a low golf handicap. (blog.alphaarchitect.com)