A summary article on volatility forecasting

When I was looking at research-Finance.com,I stumbled upon this one by Andersen, Bollerslev, Christoffersen, and Diebold.They provide a very interesting look at the volatility forecasting. The piece is largely a summary article that shows what has been done and the results. VERY good! It is part of a forthcoming Handbook of Economic Forecasting edited by Elliott, Granger, and Timmermann.A warning

More Fuel for the Fire on social security reform

I hope you have been following the "discussion"--via comments at the end of my last blog entry on Social Security reform. The discussion is very interesting. My views have not been changed, but interesting discussion none the less.Today I was reading what some others have to say about Social Security Reform. Harvard's Robert Barro is against privatization but not for the normal reasons. He is

Are Super Star CEOs bad for firm? It seem so.

In my MBA 610 class we now devote a bit more than a week to corporate governance. One of the lessons is that Super Star CEOs are rarely good for the long term prospects of the firm.The NY Times has an interesting article that largely endorses this view: The New York Times Lo! A White Knight! So Why Isn't the Market Cheering?Before getting to the article, let me suggest that at least some of

The New York Times > Business > Your Money > If I Only Had a Hedge Fund

An artcile on hedge funds that mentions the Counting Crows. It is a lock to get mentioned :)
The New York Times > Business > Your Money > If I Only Had a Hedge Fund: "15 years ago, hedge funds managed less than $40 billion. Today, the figure is approaching $1 trillion. By contrast, assets in mutual funds grew at an impressive but much slower rate, to $8.1 trillion from $1 trillion, during the

USATODAY.com - Public cool about heart of Bush's Social Security plan

There are things that I just do not understand. From Yesterday's USA Today:USATODAY.com - Public cool about heart of Bush's Social Security plan: "The heart of President Bush's plan for Social Security, allowing younger workers to create personal accounts in exchange for a lower guaranteed government benefit, is among the least popular elements with the public""Younger workers would have the

A Defense of Economics

Economics Wins, Psychology Loses, and Society Pays by Max Bazerman, Deepak MalhotraThe short version of the Bazerman and Malhotra chapter is that the authors believe that economics has come to dominate (to the exclusion of other fields) the social sciences and political arena. (Somewhat analogous to the idea that rational economics has dominated in finance to the detriment of psychology and

Is ICE hot or cold?

Ok, so the joke was really bad, I couldn't resist! (not that I tired...lol)...Latest News and Financial Information | Reuters.com: "Energy and commodities exchange IntercontinentalExchange Inc., owner of Europe's biggest energy bourse, may raise up to $115 million in an initial public offering of stock, "As we have often seen, it is not only industrial corporations that go public, more and more

SSRN-Sharpening Sharpe Ratios by William Goetzmann, Jonathan Ingersoll, Matthew Spiegel, Ivo Welch

SSRN-Sharpening Sharpe Ratios by William Goetzmann, Jonathan Ingersoll, Matthew Spiegel, Ivo WelchMeasuring fund manager performance is not as easy as it sounds. Sure you know the basic measures: Sharpe Ratio, Treynor measure, and Jensen's alpha.Sharpe: (Return-Risk Free)/ Standard DeviationTreynor: ( Return-Risk Free)/ Beta)Jensen's Alpha: Return = RF + Beta (Market Risk Premium) + AlphaBut

A look at IPO price stabilization by Lewellen

Katharina Lewellen provides is an interesting look at price stabilization in the IPO market.Price stabilization is the practice of investment bankers going into the secondary market to support the price of newly issued shares. There has been much debate in the academic literature as to the rationale and the extent of this practice. For instance, is it a reward to institutional investors as some

Rodney Paul at Forbes.com: Ten Betting Tips For March Madness

Forbes.com: Ten Betting Tips For March Madness

Rodney Paul is in Forbes again. This time for his comments on betting on the NCAA basketball tourney. SHort version: market is pretty efficient. But don't take my word for it, watch the video--No it is not of him.

I am convinced that NCAA pools can tell us quite a bit about stock market investing. For instance, if we acknowledge the existence of

Signs of spring and market efficiency!

Sure signs of Spring: spring training, seeing robins, March Madness, now finance articles about baseball! (ok, so the last one is a stretch).Hakes and Sauer (yes the same Skip Sauer who has the excellent Sports Economist Blog) have an interesting paper that looks at the premise of Michael Lewis' Moneyball book. WHat makes the paper interesting is what it says about markets in general. For those

Air Grasso??

New York Post Online Edition: business: "Former New York Stock Exchange chairman Dick Grasso turned the Big Board's corporate jet into Air Grasso."

It seems like it is 2003 all over again: not only is Worldcom front and center , Eliot Spitzer is investigating firms, and Richard Grasso is back in the news.

Why? There is now evidence that he used the NYSE's corporate jet as his family's own jet.

A quick look at the Bernie Ebbers case

Of course there is just a ton of coverage on the Bernie Ebbers' conviction today. If you have somehow missed it: He was found guilty on all charges and faces up to 85 years in jail (although USAToday reports 25 years is more likely.Some interesting quotes from various sources:USAToday: "John Coffee, an expert in securities law at Columbia University. "But the 'CEO as dupe' defense did not sell

Why do firms go public?

In a piece of fortuitous timing given that last night in class we began a section on raising capital and IPOs, today's NY Times DealBook mentions two firms that are selling shares so that the firms' current owners can cash out a portion of their shares. From the NY Post: "National Lampoon Inc., the media company that cast comedian John Belushi as an irreverent fraternity boy in "Animal House"

Where have you been?

Sorry for the infrequent posts of late. I made and gave out 4 tests last week. Coupled with three papers in various states of completeness, I just have been a bit short on time. But the tests are done (and graded), one of the papers is 99.9% done, and I should be back to a more normal schedule later today. (I hope :) ) Sorry for any inconvenience!jim

A Non-Technical Introduction to Brownian Motion by Don Chance

A Non-Technical Introduction to Brownian Motion

Wow--I wish I had had this during the Financial Econometrics class at Penn State. I was quite lost for the better part of the semester in that one! I have since made some sense of it, but the description from Financial Engineering News by Don Chance is a nice review and description! Definitely recommended!

Accounting games: How Banks Pretty Up The Profit Picture

Commentary: How Banks Pretty Up The Profit Picture

Need another example of why cash flow matters more than accounting numbers? BusinessWeek and the Financial Accounting Blog provide us with examples of how banks can play with their loan loss reserves to "manage" their earnings.

FRB: Testimony, Greenspan --Economic outlook and current fiscal issues-- March 2, 2005

Network television executives must hate me. I almost never see anything on their networks except sports, but I am watching Cspan at 1:40 AM. Why? Because Alan Greenspan is talking! Most of his talk (and definitely the Q&A session that followed his remarks) focused on social security reform.Short version? The economy is strong but deficits (including budget, social security, and Medicare) pose

A daily review of the Wall Street Journal (European version) and The Financial Times

Review of the Financial Press

Don't have time to read both the WSJ and the FT? Then I have a free solution! Vincent Colot summarizes some of the most interesting articles from both the Wall Street Journal Europe and the Financial Times. It is updated every morning.

Oh yeah, it is in French. Can't read French? Google's translation service does a manageable job.

SSRN-Psychological Barriers in Gold Prices? by Raj Aggarwal, Brian Lucey

The momentum for behavioral finance continues with a look at the importance of barrier prices in the Gold Market.SSRN-Psychological Barriers in Gold Prices? by Raj Aggarwal, Brian LuceyAggarwal and Lucey "[present] evidence of psychological barriers in gold prices. [They] document that prices in round numbers act as barriers with important effects on the conditional mean and variance of the gold