tag:blogger.com,1999:blog-7905515.post4261001324704173037..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: My Book is Obvious AND WrongEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger5125tag:blogger.com,1999:blog-7905515.post-35437652908879030752009-08-03T08:20:35.916-05:002009-08-03T08:20:35.916-05:00As a retail investor, I might look at a Vanguard f...As a retail investor, I might look at a Vanguard fund that employed Eric's strategy, but actually picking stocks, and rebalancing every so often to keep on track, seems way too hard. Maybe I am not a sufficiently involved retail investory.<br /> <br />Cowen would be an interesting test. According to one of his econtalk interviews, he <i>starts</i> several books a day, but quits reading most of them before the halfway mark. (He has an idiosyncratic application of sunk cost and search cost theory as applied to reading).<br /> <br />Speaking of EconTalk, Eric, if you've got an hour of material and can interest Russ Roberts, I would love to hear you do a show. A combination of your views on capital reform generally + some book pimping would make for a good one.J Mannnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-42376250881950215812009-08-02T08:55:54.876-05:002009-08-02T08:55:54.876-05:00they don't have to short! A long only, low be...they don't have to short! A long only, low beta, or minimum variance port generates a higher Sharpes and Information Ratio than the S&P500Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-22999134360244107262009-08-01T22:47:38.247-05:002009-08-01T22:47:38.247-05:00I do think a typical retail investor could benefit...I do think a typical retail investor could benefit from reading your book if they are unusually intelligent, and independent thinkers. <br /><br />But I don't think most retail investors will be able to pull off stuff like long low beta, short high beta strategies. Most retail folks would be better off concentrating on avoiding common mistakes that kill them, that usually involve high fees for unattractive products.AHWesthttps://www.blogger.com/profile/09829802681623277432noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-80984227212977633552009-08-01T10:53:50.561-05:002009-08-01T10:53:50.561-05:00Maybe I'm a bit slow. But you write:
"[t...Maybe I'm a bit slow. But you write:<br />"[they say] My empirical findings are not rigorous, in that I'm using incorrect statistical tests and if I used a more powerful test I would not reject the hypothesis that risk explains returns as standard theory dictates."<br /><br />Power is the ability to reject the null when the null is false. If you use a more powerful test, you can reject the null when a low-powered test failed to reject the null. But you already reject the null. So how does using a more powerful test enable you to NOT reject the null when your (presumably) less powerful test already rejected it?<br /><br />Either I am missing something obvious or your critic is an idiot.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-55590603158938392322009-07-31T17:04:50.317-05:002009-07-31T17:04:50.317-05:00Have you sent Tyler Cowen a copy of your book to r...Have you sent Tyler Cowen a copy of your book to review? I'd really like to see his take on it, and I hear he reads several books per day so I don't think you have to meet a very high bar for him to read it.Symme7ryhttps://www.blogger.com/profile/18181120816938851916noreply@blogger.com