Research links: index volatility
Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at...
Quant stuff
- The case for simple models using more data. (mrzepczynski.blogspot.com)
- Are researchers building portfolios all wrong? (papers.ssrn.com)
Portfolio rebalancing
- The benefits of portfolio rebalancing are overstated. (roberthuebscher.substack.com)
- Your portfolio rebalancing frequency doesn't matter all that much. (elmwealth.com)
Alternatives
- Private equity performance degrades with asset growth. (papers.ssrn.com)
- Hedge fund performance isn't improving with time. (klementoninvesting.substack.com)
Companies
- Which tech companies are diluting themselves the most with stock-based compensation? (platformaeronaut.com)
- Is the quality factor just a proxy for profitability? (papers.ssrn.com)
Economics
- Why we underestimate the degradation of our skill over time. (papers.ssrn.com)
- Why are credit card rates so high? (libertystreeteconomics.newyorkfed.org)
- The link between financial and self-reported well-being in retirement is weak. (papers.ssrn.com)
- On the menopause 'penalty.' (papers.ssrn.com)
Research
- How investor attention affects price and earnings momentum. (papers.ssrn.com)
- Trend following is all about the trade off between time and turnover. (mrzepczynski.blogspot.com)
- How have equal-weight stock index funds done in practice? (roberthuebscher.substack.com)
- What drives robo-advice? It's pretty simple, really. (sciencedirect.com)
- How individual investors behave. (nber.org)
