tag:blogger.com,1999:blog-7905515.post3077892596625458788..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: On the Inverse Correlation between Expected Risk and ReturnEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-7905515.post-3299141785450546212013-08-09T09:14:03.465-05:002013-08-09T09:14:03.465-05:00Eric you said: .....In my view, people buy high b...Eric you said: .....In my view, people buy high beta stocks incidentally because these tend to have characteristics amenable to comforting delusions: big stories, potential for big gains<br /><br />That would be fun to test. High Beta stocks should therefore have a greater %move on positive news events and a lower %move on negative events than low beta stocks....That would be fun to run through Lucena Research's QuantDesk event engine.<br /><br />Sethhttp://www.p-t-t.comnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-8997305024472685852013-08-06T10:44:23.863-05:002013-08-06T10:44:23.863-05:00One thing the theory ignores, is the incentive str...One thing the theory ignores, is the incentive structure in the money management industry and the fact that much of the money is managed on a delegated basis. The structure gives rise to excessive risk taking and herding. hbkazhttps://www.blogger.com/profile/10542651977077969062noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-63729097920414040062013-08-05T20:26:46.847-05:002013-08-05T20:26:46.847-05:00Deniz: hey, great link! I never saw that one.Deniz: hey, great link! I never saw that one.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-57279195962366287982013-08-05T10:54:19.879-05:002013-08-05T10:54:19.879-05:00Hi Eric,
Nice post. You may be interested on our...Hi Eric,<br /><br />Nice post. You may be interested on our take of how affect is related to risk and return:<br /><br />http://www.scu.edu/business/finance/research/upload/Affect-FAJ.pdf<br /><br />Denizdeniznoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-19735943581074856472013-08-05T05:03:54.593-05:002013-08-05T05:03:54.593-05:00The acceptance of behavioral economics opens the d...The acceptance of behavioral economics opens the door to a new avenue of financial risk research: Let's just ask people what they think! Surveys of actual investors should serve as a pretty good proxy for figuring out expected returns and risk.<br /><br />In that sense, the reason for the missing risk premium must, at some level, lie in the way real-live investors think and behave. Let's just go ask them...Fish Goldsteinhttps://www.blogger.com/profile/13864053986442147618noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-50364282688633996572013-08-05T04:45:27.371-05:002013-08-05T04:45:27.371-05:00I wonder to what extent this "anomaly" r...I wonder to what extent this "anomaly" relates to the fact that the standard theory is a one-period model with no ability to handle time. Investment horizons are not fixed, yet risk and return are both functions of time. Plus we never actually know (ex-ante) what the covariance is. E(R)http://expectingreturns.com/noreply@blogger.com