Recently Discovered Academic Finance Research You Might Have Missed:
- Deactivating Active Shares (Frazzini, Friedman and Pomorski)
- Is Being Different Better? Dispersion and Active Management (The Investor’s Field Guide)
- 9 Mistakes Quants Make that Cause Backtests to Lie (The Augmented Trader)
- Sell in May and Go Away: Still Good Advice for Investor? (Dichtl and Drobetz)
- Multi-Asset Class Mutual Funds Managers: Can They Time the Market? (Clare, O’Sullivan, and etal)
- Skewness-enhanced Momentum Strategies Earns Twice Alpha than Traditional Momentum Strategy (Jacobs, Regele and Weber)
About the Author: Wesley Gray, PhD
—
Important Disclosures
For informational and educational purposes only and should not be construed as specific investment, accounting, legal, or tax advice. Certain information is deemed to be reliable, but its accuracy and completeness cannot be guaranteed. Third party information may become outdated or otherwise superseded without notice. Neither the Securities and Exchange Commission (SEC) nor any other federal or state agency has approved, determined the accuracy, or confirmed the adequacy of this article.
The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. Our full disclosures are available here. Definitions of common statistics used in our analysis are available here (towards the bottom).
Join thousands of other readers and subscribe to our blog.