meta user
network profile
| bio | website | |
|---|---|---|
| location | ||
| age | 23 | |
| visits | member for | 7 months |
| seen | 12 mins ago | |
| stats | profile views | 56 |
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Nov 4 |
revised |
Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk? added 21 characters in body |
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Nov 4 |
awarded | Citizen Patrol |
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Nov 4 |
revised |
Show that convexity of call price as a function of the strike is violated edited tags |
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Nov 4 |
awarded | Critic |
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Nov 4 |
awarded | Editor |
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Nov 4 |
awarded | Organizer |
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Nov 4 |
comment |
Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk? That's a nice insight, but I'm still scratching my head as to why this is considered a legitimate view of the risk of a security from any perspective? Who cares if the trace of the variance covariance matrix is large? |
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Nov 4 |
asked | Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk? |
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Nov 2 |
comment |
Individual/casual investors and the bias towards blue-chip stocks? @justin All I'm looking for is specific evidence that individual investors are biased against or towards large cap stocks. |
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Nov 2 |
comment |
Individual/casual investors and the bias towards blue-chip stocks? Where does it say that individual/casual investors have a bias towards large or small stocks? |
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Nov 1 |
comment |
Data on US bankruptcy rate vs. standard valuation ratios With Datastream it depends on when you ask for the constituent list. If you get stock prices from 1990 to 2010 and your constituent list is the 2010 list (by default), then you will have maximum survivorship bias. Sometimes this bias is impossible to overcome with Datastream. E.G. for Australia the list only goes back to 2000, so any analysis before then will have survivorship bias. |
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Nov 1 |
asked | Individual/casual investors and the bias towards blue-chip stocks? |
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Oct 29 |
asked | Why do low standard deviation stocks tend to have superior future returns? |
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Oct 28 |
comment |
Do low volatility stocks outperform high volatility stocks over the long run? Nice. Do you know if there are any counter-examples where research shows that historical standard deviation of returns is related to strong future performance? Or is there consensus on this issue that low standard deviation --> high returns? (I'm not talking about idiosyncratic volatility). |
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Oct 28 |
awarded | Student |
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Oct 28 |
asked | Conditional or unconditional volatility? |
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Oct 28 |
comment |
Do low volatility stocks outperform high volatility stocks over the long run? For idiosyncratic volatility (e.g. standard deviation of residuals of the CAPM), the consensus seems to be that the question is not settled. Evidence is contradictory. For example Ang et al. (2006, 2009) find a negative relationship, but many others find a positive relationship. I am unfamiliar with the literature on using the returns standard deviation as the volatility though. |
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Oct 28 |
awarded | Supporter |
