Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the volatility-managed portfolios.
Research links
- The weekend effect is no more. (cfr.ivo-welch.info)
- The case for spinoffs. (blogs.wsj.com)
- Is the rebalancing bonus a myth? (thepfengineer.com)
- Is the size premium something worth pursuing? (etf.com)
- The low vol effect gets subsumed when you look at value and momentum. (blog.alphaarchitect.com)
- Some evidence there is persistence in fund manager performance. (statisticalideas.blogspot.com)
- Low risk premia and the opportunity in hedge funds. (econompicdata.blogspot.com)
- Seasonal effects are stronger than commonly thought. (papers.ssrn.com)
- Analysts apparently can't adjust for seasonal earnings trends. (papers.ssrn.com)
- How 'contrast effects' affect market reactions to earnings results. (blog.alphaarchitect.com)
- How to construct a tactical fixed income strategy. (blog.thinknewfound.com)
- Why do IPOs seem to be getting riskier? (papers.ssrn.com)
- The math of asymmetric losses (and gains). (blog.thinknewfound.com)