Academic Research Digest

Research evidence excerpt

Academic Research Digest

Essentials |

30 Jun 2026 16:33:32 ET │ 22 pages

June 2026

CITI'S TAKE

Global Equity Quant

In the 203rd edition of the Academic Research Digest, we summarize four

working papers that are interesting and relevant to quantitative investors. Europe

The research papers reviewed cover impact of passive flows on the returns AC David T Chewof accounting-based anomaly strategies, extracting trading signals from

biases in investor expectation, methods for exploiting systematic +44-20-7986-7698

behavioral biases in analyst forecasts, and a novel machine learning based david.chew@citi.com

measure of assessing accounting quality. We also highlight two other

papers that investors may find of interest: a nonlinear target factor model

with attention mechanism for mixed frequency data and feature enriched US

deep learning approach for stock market return forecasting using time

variant Hurst exponent and feature selection. Richard W Schlatter AC

+1-212-816-0591

Passive Flows and the Limits to Arbitrage — Research analyzes the influence of richard.w.schlatter@citi.com

mechanical demand shocks, which originate from passive investment flows, on the AC Anju Bhandari

returns of accounting-based long-short strategies.

+1-212-816-3812

Expectation Bias and Short-Term Momentum — Study introduces Machine anju.bhandari@citi.com

Learning (ML) based measure of expectation bias (EB), derived from analyst forecast

errors, that serves as an effective signal for long-short strategies.

Asia

The Macro Alibi: Subjective Risk Attribution in Analyst Scenarios — Research

reveals that analyst narratives can reveal systematic behavioral biases and that Yue Hin Pong AC

adjusting for these biases can generate meaningful long-short portfolio alpha. +44-20-7986-3953