tag:blogger.com,1999:blog-7905515.post4683411031899586616..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Missing Risk Premium: a SynopsisEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger11125tag:blogger.com,1999:blog-7905515.post-43585681274069939512013-08-03T14:59:04.509-05:002013-08-03T14:59:04.509-05:00Eric, Amazingly I have read your books but didn...Eric, Amazingly I have read your books but didn't fully pick up on the fact that you think the entire equity risk premium is an illusion. I will need to re-read your last book. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-39166301979695971072013-07-25T09:30:08.136-05:002013-07-25T09:30:08.136-05:00Jim: per the size effect, here's a hypothesis....Jim: per the size effect, here's a hypothesis. I argue the equity premium is probably an illusion created by transaction costs, adverse timing, geometric averaging, peso problems, and taxes. transaction costs and adverse timing costs are even greater for small cap firms.<br /><br /> Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-59802100780318003992013-07-25T09:14:47.049-05:002013-07-25T09:14:47.049-05:00Jim Oliver -
The reason why small caps outperform...Jim Oliver -<br /><br />The reason why small caps outperform large caps is that indexes are weighted in favor of the largest firms. mapnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-20470941281335085762013-07-23T02:18:37.833-05:002013-07-23T02:18:37.833-05:00Yes Anonymous, the link I posted does contains the...Yes Anonymous, the link I posted does contains the 40-upvoted discussion of Baumeister's book, but also (indeed at the very top) some interesting critique of the results, which was what I had in mind: <br /><br />"Apparently, it comes from studies of Y-chromosome DNA and mitochondrial DNA that indicate that the female common ancestor of all living humans is a lot older than the male common ancestor of all living humans. However, this past year, researchers discovered a man with a Y-chromosome that threw off the timeline drastically - which throws the conclusion of sex-based differential reproduction into question."<br /><br />(my copy and paste lost the links to the underlying papers, but it's right there at the top of the link I posted above)<br /><br />Eric: even assuming that there has been such a dramatic difference in reproduction rates in our history, do you think that is still the case today?<br />Johannesnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-1108585031972731902013-07-22T20:11:26.103-05:002013-07-22T20:11:26.103-05:00johannes: you linked to a post asking for referenc...johannes: you linked to a post asking for references and the most highly rated comment, with <i>40 upvotes</i>, includes excerpts and citations that strongly support eric's claim. c'mon, dude!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-41242005458230729732013-07-22T10:50:10.309-05:002013-07-22T10:50:10.309-05:00Baumeister mentions it here.
http://www.psy.fsu.e...Baumeister mentions it here.<br /><br />http://www.psy.fsu.edu/~baumeistertice/goodaboutmen.htmEric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-90144193443068228142013-07-22T10:23:19.991-05:002013-07-22T10:23:19.991-05:00I found the "40% of all men reproduce..."...I found the "40% of all men reproduce..." statement very interesting, as I've never heard that before. <br /><br />However, a quick google seems to cast some doubt: http://lesswrong.com/lw/h4e/differential_reproduction_for_men_and_women/<br /><br />Do you have any good references?<br /><br />Johannesnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-31861659784374816522013-07-22T09:51:16.505-05:002013-07-22T09:51:16.505-05:00Your theory seems likely to be correct and so I ha...Your theory seems likely to be correct and so I have started to invest based on it but one one question bothers me. If the risk premium does not explain small cap's out performance of large caps what does? JWOhttps://www.blogger.com/profile/00004178958481335795noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-41033191009471766532013-07-22T09:18:06.229-05:002013-07-22T09:18:06.229-05:00Alas, all we have are historical data.
The thou...Alas, all we have are historical data. <br /><br />The thought that conditional variation in the risk premium could explain this general absence of a risk premium across this many decades and asset classes is something only a special type of theorist would say. Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-14488471264284068512013-07-22T09:13:34.059-05:002013-07-22T09:13:34.059-05:00Your conception of risk/premium confuses expectati...Your conception of risk/premium confuses expectation with the real outcome. Very basic mistake. <br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-4867778321164855422013-07-21T20:08:55.004-05:002013-07-21T20:08:55.004-05:00I bought this book as an ebook from Amazon and fou...I bought this book as an ebook from Amazon and found it very interesting.RiskandRisehttps://www.blogger.com/profile/15500607493854929406noreply@blogger.com