tag:blogger.com,1999:blog-7905515.post4111346472484481235..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Behavioralism Circa 1988Eric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-7905515.post-81538985507880543802009-07-29T02:25:44.976-05:002009-07-29T02:25:44.976-05:00Haugen and Lakonishok, anyway.Haugen and Lakonishok, anyway.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-62195463788552307792009-07-28T10:41:00.222-05:002009-07-28T10:41:00.222-05:00for large stocks that avoid errors from low-volume...for large stocks that avoid errors from low-volume stocks, the mean-reversion had an annual return of 3%, and a vol of 19%, which I think is 'small'.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-39952891066241968042009-07-28T10:14:12.049-05:002009-07-28T10:14:12.049-05:00"Their big idea is that basically all of the ..."Their big idea is that basically all of the 'risk premium' in stocks and bonds occurs in January. This is because institutions pick stocks then, pushing up prices of risky, and small stocks (which are risky). Over the year stock pickers stop 'buying', so stocks just meander the other 11 months of the year"<br /><br />I don't see how this is a behavioral story. Either institutuions bought all their stock January back then (empirical question) or they did not. If so seems like reasonable rational story.<br /><br /><br />"These small stocks would move from 3/8 to 1/2, back to 3/8, and the daily cumulative return was huge, because the tapes showed +33%, -25%, +33, -25%, etc."<br /><br />If you value-weight in calculating returns (which they may have done), this won't be an issue.<br /><br /><br /><br /><br />"To the extent their is negative autocorrelation at 36 months, it is imperceptible"<br /><br />Long term reversal is well documented. You can see returns here:<br />http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_lt_rev_factor.htmlUnconventional Wisdomhttps://www.blogger.com/profile/12104938218664853916noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-2867960640556158242009-07-27T23:03:46.881-05:002009-07-27T23:03:46.881-05:00I haven't spent $52 on a book since grad schoo...I haven't spent $52 on a book since grad school (actually I don't think I've bought more than 10 books since grad school, and at least half were about babies) but I at least requested that my public library buy it.Anonymousnoreply@blogger.com