tag:blogger.com,1999:blog-7905515.post1929910355097603791..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Earliest Low Volatility ArticleEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-7905515.post-65493264334983567312012-04-09T17:29:59.227-05:002012-04-09T17:29:59.227-05:00Ok, so you're talking about the survival bias....Ok, so you're talking about the survival bias. I was thinking that it excluded bankruptcies, which in general might be higher vol. Thanks for following up!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-23617175884238529532012-04-09T15:14:32.451-05:002012-04-09T15:14:32.451-05:00If you pull only those stocks that exist over 20 y...If you pull only those stocks that exist over 20 years, you necessarily exclude those that were delisted or acquired, and these tend to disproportionately be those that have the highest volatility. <br /><br />It's sort of like, take any list of the current S&P500 stocks, and their return over the past 20 years is always way above the S&P500 index.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-51473697950963930422012-04-09T15:09:49.707-05:002012-04-09T15:09:49.707-05:00Can you explain a bit more in detail why you think...Can you explain a bit more in detail why you think his method id flawed? Is it survival bias? Difference in cap structure?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-57229909237147557912012-04-09T06:06:22.818-05:002012-04-09T06:06:22.818-05:00wow, good catch this early article on the empirica...wow, good catch this early article on the empirical risk-return relation!Anonymousnoreply@blogger.com