No Reward for Risk?
January 26, 2006 - Volatility Effects
…exceptionally volatile stocks are on average inferior investments, or at least trades. There is no reward for this kind of risk, and presently no explanation for this effect.
January 26, 2006 - Volatility Effects
…exceptionally volatile stocks are on average inferior investments, or at least trades. There is no reward for this kind of risk, and presently no explanation for this effect.
January 24, 2006 - Fundamental Valuation
…practitioners who use the Fed Model are simpletons. The model is theoretically implausible and empirically challenged.
January 12, 2006 - Fundamental Valuation
…corporate profitability and earnings growth exhibit non-linear mean reversion.
January 9, 2006 - Equity Options
…investing in options as a marginal enhancement to a buy-and-hold approach can improve returns and Sharpe ratios, but only if the options positions are small compared to overall portfolio size.
January 7, 2006 - Big Ideas
…the power law distribution of sizes of large investors, along with the optimal trading behavior of those investors, explains the excess volatility observed in asset markets.
January 6, 2006 - Big Ideas
“…[T]he human mind has a predilection for rampant, uncontrolled induction, and it requires much education to overcome this.”
December 28, 2005 - Big Ideas
“The variables that economists have found to be associated with increases in per capita income, to sum up, fall under two headings: investment and institutions.”
December 26, 2005 - Size Effect
…hidden gems (unlike hidden lumps of coal) generally do not want to be hidden. The best small firms solicit analyst coverage to get investor attention.
December 20, 2005 - Value Premium
…the empirical foundation for value investing may not be as sound as generally thought.
December 19, 2005 - Individual Investing, Technical Trading
…if you want to make money following the retail investor herd, you have to get in and out within weeks. For longer-term outperformance, bet against the herd.