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Economath and the Drake Equation 26 Aug 2013 | 10:06 am
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), though Krug...
AQR's Quality at a Reasonable Price 26 Aug 2013 | 09:33 am
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, Qualit...
Is The Low Vol Anomaly Really a Skew Effect? 14 Aug 2013 | 06:36 am
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 Dosto...
Now Not the Time to Value-Tilt Low Vol 12 Aug 2013 | 07:14 am
Every week, a low volatility researcher has the same epiphany: tilt low volatility towards value. This addresses two pressing issues simultaneously: avoiding overbought securities and adding value al...
On the Inverse Correlation between Expected Risk and Return 5 Aug 2013 | 07:55 pm
Imagine a world where expected returns are solely a function of covariances as standard theory implies. Then for assets with specific covariances, the market should give them specific expected returns...
My Big Toe 29 Jul 2013 | 03:01 am
A large problem in physics concerns the nature of quantum reality, where as Richard Feynman famously said, “if you think you understand it, you don’t understand it.” A currently popular solution is ...
Missing Risk Premium: a Synopsis 22 Jul 2013 | 05:41 am
I recently made a presentation of my book, The Missing Risk Premium, and thought it was concise, so I'm sharing it here. Historical return data contradicting 'expected return positively linearly rela...
Are Pre-Modern Societies Socialist? 22 Jul 2013 | 05:09 am
Many assume that pre-modern society was communistic, like hunter gatherers, and these roots give us a socialist intuition. Larry Arnhart argues this simply isn't true, that hunter-gatherer societies s...
Milton Friedman on Behavioral Economics Circa 1978 19 Jul 2013 | 08:02 am
Ever since Freakonomics and Kahneman's Nobel prize, people have been writing articles about the radical new idea that people are not lightning-quick calculators complicated algorithms as economists al...
Trayvon Martin and Keynesian Multipliers 15 Jul 2013 | 08:49 pm
Pundits, websites, and news programs had very predictable opinions on the guilt of Zimmerman based on their view about Keynesian multipliers. Basically, those that favor more redistribution, more gov...
