Research links: fragile factors

Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how to reduce ‘portfolio fragility.’

Quote of the Day

“The empirical evidence for low volatility is very fragile…Fifteen of the 16 volatility measures we looked at don’t work using the broadest sample of stocks.”

(Lu Zhang) CEOs Earnings forecasting Corporate finance Quant stuff Research

Keep reading this article on Abnormal Returns Blog.