Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the value (or not) of protective puts.
Quant
- Quants don't 'pick stocks' they 'capture factors.' (blog.thinknewfound.com)
- How quantitative investing techniques can fall short. (papers.ssrn.com)
- How to use Benford's Law to suss out fraud. (ofdollarsanddata.com)
Membership
Factors
- There's value stock portfolios and there are VALUE stock portfolios... (blog.alphaarchitect.com)
- How to learn about factor investing. (blogs.cfainstitute.org)
Global
- Do value and momentum work in frontier markets? (blog.alphaarchitect.com)
- Smart beta is coming to China. (institutionalinvestor.com)
Research links
- Don't put too much stock in active share. (etf.com)
- Why the past decade of commodity returns have been so disappointing. (quantpedia.com)
- So, should you sell in May and go away? It depends where you go. (etf.com)
- There has been a dramatic increase in mutual funds buying stakes in private companies. (corpgov.law.harvard.edu)
- An activists investor's reputation is crucial to their success. (papers.ssrn.com)
- How much, if at all, should an endowment invest in a firm whose activities run counter to the charitable missions the endowment funds? (papers.ssrn.com)
- Some interesting papers from the 2017 WFA meeting. (blog.alphaarchitect.com)