October 3, 2011
How much predictability is there for these higher moments? Data The data consist of daily returns from the start of 2007 through mid 2011 for almost all of the [...]
September 27, 2011
fMRI data from 90 locations in the brain look somewhat like daily closing prices on 116 stocks if you squint just right. Marginal Revolution was nice enough to point [...]
September 16, 2011
Some pictures to explore the reality of the theory that stocks with higher beta should have higher expected returns. Figure 2 of "The effect of beta equal 1" shows [...]
September 12, 2011
download 'The R Inferno' Update While it is still not for sale at a website near you, it is also for sale at a website near you: Buy [...]
September 8, 2011
Data The data are daily returns starting at the beginning of 2007. There are 477 stocks for which there is full and seemingly reliable data. Estimation The betas are [...]
September 5, 2011
The subtitle is: Adversaries in Art, Science and Philosophy. Executive Summary Genius or madness? I haven't decided. Irreversibility of interpretation The book drives home that once we decide how [...]
August 30, 2011
What does beta look like in the out-of-sample period for the portfolios generated to have beta equal to 1? In the comments Ian Priest wonders if the results in [...]
August 29, 2011
Investment Performance Guy had a post about beta equal 1. It made me wonder about the properties of portfolios with beta equal 1. When I looked, I got a [...]
August 25, 2011
The title says "things" but conferences are mainly about people. Some of it can be serendipitous. For example, one day I sat next to Jonathan Rougier at lunch because [...]
August 23, 2011
The usual approach to testing software is to create a specific problem and see if the software gets the correct answer. Although this is very useful, there are problems [...]