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Results tagged with theory
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user 106
12
votes
How do I reproduce the cross-sectional regression in "Intraday Patterns in the Cross-section...
The $R^2$s are usually close to zero for single stock regressions. The big $R^2$s that a lot of asset pricing research shows is by forming portfolios. Forming portfolios cancels a lot of the idiosyncr …
- 4,501
8
votes
What concepts are the most dangerous ones in quantitative finance work?
That value stocks are necessarily riskier than growth; that there has to be a hidden risk factor that we haven't yet found. The Lakonishok, Shleifer, and Vishny abstract says it better than I can:
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- 4,501
13
votes
Is there any theoretical basis for pattern-recognition strategies?
Weak form market efficiency says that you can't predict prices based on past prices. Or that technical analysis doesn't work. I think that the tests of weak form market efficiency are pretty conclusiv …
- 4,501