Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at how retail traders use options.
Quote of the Day
"The stakes of even the smallest argument over Fama and French’s research are high. Their work is about nothing less than how we know what companies are worth and how well money managers are doing their jobs—and how to make money in the market."
(Mary Childs and Justina Lee)
Private equity
- How has private equity performed outside the U.S.? (alphaarchitect.com)
- On the growing importance of private equity secondary transactions. (linkedin.com)
- Why do private equity firms allow co-investment? (papers.ssrn.com)
- Does venture debt still have a future? (papers.ssrn.com)
Skewness
- Investors love to pay up for skewness. (alphaarchitect.com)
- People (poker players) love skewness. (papers.ssrn.com)
Research
- At what rate do small caps transition into large caps? (mailchi.mp)
- More evidence for the momentum effect. (mrzepczynski.blogspot.com)
- How retail investors help drive post-earnings drift. (klementoninvesting.substack.com)
- Comparing the diversification benefits of global macro hedge funds vs. managed futures. (mrzepczynski.blogspot.com)
- Tone in corporate filings matter for stock prices. (papers.ssrn.com)
- Why Fama-French came under scrutiny for their data. (bloomberg.com)
- Are AI trading bots going to end up colluding? (papers.ssrn.com)
- A round-up of recent research on combination model forecasting. (capitalspectator.com)