Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out including a look at the secular decline in long-short hedge funds.
Quote of the Day
"High return on capital persists, and higher profitability is better"
(Greg Obenshain)
ETFs
- How Jane Street became an ETF market making powerhouse. (frontmonth.substack.com)
- Should firms consider launching your own ETF? (alphaarchitect.com)
- What time of day are ETFs most liquid? (wsj.com)
ESG
- Why ESG ratings can vary so widely. (wsj.com)
- A backlash is here, but ESG isn't going anywhere. (morningstar.com)
Intangibles
- The stock market has a tendency to undervalue political capital, i.e. lobbying and donations. (sparklinecapital.com)
- Why branding is undervalued. (onveston.substack.com)
Trend following
- Why trend following shows up with an allocation in optimal portfolios. (qoppac.blogspot.com)
- Can you trend follow trend-followers? (mrzepczynski.blogspot.com)
Research
- Value and momentum show up in the pre-CRSP data. (alphaarchitect.com)
- How social sentiment can be used to forecast stock returns. (papers.ssrn.com)
- A look at the momentum factor, 30 years in. (alphaarchitect.com)
- Dual-class voting is a double-edged sword. (aswathdamodaran.blogspot.com)
- Trustees: control your own investment benchmark. (papers.ssrn.com)
- How does bereavement affect portfolio manager behavior? (academic.oup.com)