Research links: random deviations
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
- A round-up of recent research on risk including 'Financial and Business Cycle Risk Premia.' (capitalspectator.com)
- A review of "Financial Statement Analysis for Value Investing" by Stephen Penman and Peter Pope. (blogs.cfainstitute.org)
Factors
- On the (premature) calls for the death of factor investing. (larryswedroe.substack.com)
- How to build a better momentum model. (alphaarchitect.com)
- The case for non-cap weighted indices. (papers.ssrn.com)
Private investing
- The evidence on the performance of private equity is mixed, at best. (morningstar.com)
- Fund clawback provisions are complex. (cashandcarried.substack.com)
Research
- Explaining the excess volatility puzzle. (morningstar.com)
- How changes to market macrostructure can change return patterns. (mrzepczynski.blogspot.com)
- Stocks can experience bigger drawdowns than you can likely handle. (ft.com)
- There are limits to how much high-frequency traders can make. Hence the desire to launch a hedge fund. (ft.com)
- What is Total Portfolio Approach? A summary. (papers.ssrn.com)
- What happens when you combine FX carry and value? (mailchi.mp)
- How divesting pollutive plants could actually backfire for the environment. (alphaarchitect.com)
