A Premium for Negative Skew?

Xiong, Idzorek, and Ibbotson have a new paper coming out in the JPM showing that mutual funds with the highest tail risk (ie, highest prob...

Models aren't Optional

Models get a bad break, and the key is remembering the golden mean: moderation in all things. Macroeconomics, String Theory, Climate studie...

UK Austerity in the 19th Century

I was watching Bloggingheads.tv, where Mark Blyth  noted  that  contra  Rogoff and Reinhart, Great Britain had a very high debt/gdp ratio at...

Daniel and Moskowitz on Momentum

A pretty good take on momentum that I hadn't seen (from 2011) here . Momentum is strong: in US equities, where this investigation is f...

Immigration and Parfit's Repugnant Conclusion

It looks like immigration reform will e ventually grant amnesty to 10 million or so people, in the process encouraging more illegal immigra...

Low Vol Strategies Crushed in May

Low volatility had a bad month in May, and there has been a slew of commentary on this.  See Abnormal Returns  here  for a bunch of links. D...

Bring on Silva vs. Hendricks

I'm a big  Johny Hendricks  (left) fan, but I think right now among 170 pounders, Erick Silva is the man, Hendricks next, then GSP. Just...

Kahneman Fast and Loose

There's a short Danny Kahneman interview at the Daily Beast  here .  He notes why your best friends may not be your best advisors: Frien...

Yale Emotion Research Videos

Yale has a  neat website  with interviews with people doing research in affect, or moods, and how it affects us.  There are interviews with ...

More Benefits from Overconfidence

Overconfidence may cause people to invest too much in volatile stocks because such stocks have a greater diversity of beliefs, and so if peo...