Research links: a meaningful shift
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 roundup of recent academic research including 'Is Sector Rotation Causal? A Geometric Test of the Growth-to-Defensive Lead-Lag.' (alphainacademia.com)
- How to do sensitivity testing of a quant model. (rpc.cfainstitute.org)
- A roundup of recent academic research including 'Momentum Strategies in ETFs under Simple Operational Rules: Economic Value and Conditional Predictability.' (alphainacademia.com)
Research
- What daily stock market returns can tell us about the economy. (alphaarchitect.com)
- On the influence of being in a large firm on manager alpha. (klementoninvesting.substack.com)
- Why managers can do better than off-the-shelf academic factors. (aqr.com)
- Mauboussin and Callahan on the shift from public to private markets over time. (morganstanley.com)
- In theory, democratizing private investments won't help individual investors all that much. (papers.ssrn.com)
- Can tax-aware long-short strategies handle withdrawals? (papers.ssrn.com)
- An explanation for 'the savings glut of the rich': increased income volatility. (papers.ssrn.com)
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