Is The Low Vol Anomaly Really a Skew Effect?
The idea that low volatility stocks have higher returns than high volatility stocks is difficult for economists to digest, because it's so hard to square with standard theory. It brings to mind...
View ArticleEconomath and the Drake Equation
There were several posts last week on the hypothesis that there's too much emphasis on mathematical modeling in modern economics. Most said yes (Dave Hendersen, Bryan Caplan, Noahpundit, Robin Hanson,...
View ArticleAQR's Quality at a Reasonable Price
Our intrepid equity researchers at AQR have come out with a new paper adding to the color on how to pick a strategy given value considerations. In Asness, Frazzini and Pedersen's latest paper, Quality...
View ArticleThe Boring Premium
Todd Mitton and Keith Vorkink from (boring) BYU published Why Do Firms With Diversiï¬cation Discounts Have Higher Expected Returns? Their answer: no skew. People will pay up for lottery tickets, but...
View ArticleHow to Maximize Lottery Revenue
As a proponent of the idea that people are oriented towards their relative success, not absolute wealth, I think this lottery idea is fiendishly clever. Here's a description from TheWeek of a clever...
View Articlede Botton on Status Anxiety
I find Alain de Botton's approach to philosophy rather refreshing, because one senses his genuine lack of certainty, and appreciation of discovering, in his works. He's interested in applying virtue...
View ArticleMSCI Quality Index
I was unaware MSCI had beaten AQR to the punch by producing a boatload of quality indices last spring. These are applied worldwide, so they are necessarily more parsimonious than AQRs...but jeez,...
View ArticleHistorical CBO Budget Projection Highlights Bias
Recently the CBO issued its annual budget projection, and it's pretty benign for the next decade, then climbs at a pretty measured pace.Yet, note that in the last recession our debt relative to GDP...
View ArticleBye
I've got a new job with Pine River, and I want my new colleagues to know I'm not going to blab about anything that comes up, so blogging is now really over. Of course, if you bump into me you can...
View ArticlePiketty's Terrifying Dystopia
OK, after a long absence, I'm posting this book review just because I feel like it. It's my personal opinion:Thomas Piketty's bestselling door-stopper Capital in the Twenty First Century notes some...
View ArticleSkype Interview w/ Me and Ric Bratton
I didn't mention my firm or current work much; being in a highly regulated field it's just too problematic.
View ArticleHistory of Low Volatility Investing
I saw this story in Bloomberg magazine a couple weeks ago, so I decided to speak with Ric Bratton again on the history of the low volatility effect. I wanted to speak more about other people's work,...
View ArticleRequisite Assumptions for the Persistence of the Low Volatility Anomaly
My new paper was motivated by Frazzini and Pedersen's model of the low volatility anomaly. Though I think they are profoundly wrong, I think the paper was done well in good faith. Wrong mainly because...
View ArticleAn Economist's Rational Road to Christianity
One bad thing about blogging, or writing a lot, is that it forces one into a foolish consistency. It is hard to really explore new ideas, because tentative steps will be clumsy. In my new position I'm...
View ArticleFinding Alpha pdf
My book The Missing Risk Premium is a steal at only $15, but my first book, Finding Alpha, is a $65, which is a bit much for anyone not expensing their books. Finding Alpha goes over why the current...
View ArticleWhy Are Libertarians Irrelevant?
Classical liberalism was the foundation of the American Constitution and is based on utilitarian reasoning that is still popular academically. However, the major parties use libertarian principles...
View ArticleRobeco's Pim van Vliet has a new Low Vol book
Pim van Vliet runs one of the oldest and most successful Low Volatility funds in the world, which has now flowered into Robecoâs Conservative Equities brand of funds. It is noteworthy that it is not...
View ArticleJordan Peterson's Business Cycle Theory
University of Toronto psychologist Jordan Peterson has gained YouTube notoriety recently for speaking out against social justice warrior lunacy. However, it should be noted that his book, Maps of...
View ArticleMaxims
My son is going to college this fall, and I wanted to give him a set of my favorite quotations. As his name is Max, I titled the book 'Maxims.' With only a little work in formatting, I was able to...
View ArticleHow to Set Up Your Own Bitcoin/Ethereum IRA
For the past couple of centuries technology empowered the state, put more things under its control. They have ultimate custody of all your financial assets, and custody is nine-tenths of the law. You...
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