New SSRN papers, October 2020
(I haven't read these yet, but they have abstracts that look interesting.)
Replicating CTA Positioning: An Improved Method
papers.ssrn.com/sol3/papers.cf…
September 2020 edition
Asset Class Taxonomy: A New Construct for Assessing Balance in Portfolios
papers.ssrn.com/sol3/papers.cf…
Rebalance Timing Luck: The (Dumb) Luck of Smart Beta (Newfound)
papers.ssrn.com/sol3/papers.cf…
Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain
papers.ssrn.com/sol3/papers.cf…
Momentum, Reversals, and Investor Clientele
papers.ssrn.com/sol3/papers.cf…
Firm Uncertainty and Household Spending
papers.ssrn.com/sol3/papers.cf…
What Should Investors Care About? Mutual Fund Ratings by Analysts vs. Machine Learning Technique
papers.ssrn.com/sol3/papers.cf…
Divergence of House Prices in the United States: 2000 to 2015
papers.ssrn.com/sol3/papers.cf…
Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns
papers.ssrn.com/sol3/papers.cf…
Price of Regulations: Regulatory Costs and the Cross-section of Stock Returns
papers.ssrn.com/sol3/papers.cf…
Predicting the Equity Premium with the Implied Volatility Spread
papers.ssrn.com/sol3/papers.cf…
Effect of Option Listing on Financing Decisions
papers.ssrn.com/sol3/papers.cf…
Decoding Systematic Relative Investing: A Pairs Approach
papers.ssrn.com/sol3/papers.cf…
Working with CRSP/COMPUSTAT in R: Reproducible Empirical Asset Pricing
papers.ssrn.com/sol3/papers.cf…
Post Earnings Announcement Drift (PEAD) in Polish Stock Market
papers.ssrn.com/sol3/papers.cf…
Illiquidity, R&D Investment, and Stock Returns
papers.ssrn.com/sol3/papers.cf…
Integration of Income and Estate Tax Planning
papers.ssrn.com/sol3/papers.cf…
Share this Scrolly Tale with your friends.
A Scrolly Tale is a new way to read Twitter threads with a more visually immersive experience.
Discover more beautiful Scrolly Tales like this.