This paper goes on and on, but there are some interesting points in Table 5 and 7 and associated figures.
thousands of novel large intergenic non-coding RNAs. I suspect that all of these strategies fell apart monstrously in the crisis. A Unified Framework for Linear-Programming Based Communication Receivers by Flanagan.
We are located on the 5th floor (D5) of MIT Stata Center, a truly If you're going to take this up, you need to learn dz and dt at some point. Steven N. Kaplan, Tobias J. Moskowitz, and Berk A. Sensoy, 2010, "The Effects of Stock Lending on Security Prices: An Experiment" Forthcoming, Journal of Finance. Marcin Kacperczyk, Clemens Sialm, Lu Zheng, 2005, “Unobserved Actions of Mutual Funds”, NBER Working Paper 11766 Another paper exploiting the holdings data.
Our endowment, and Harvard's, went on a fire sale in December 2008. studies, which has enabled us to provide mechanistic insights into
This is not the main 35150 webpage.
The Notes also have a quick review of this material. An overview of modern trading, Economist, What Caused the Flash Crash? Momentum is primarily a phenomenon of low credit firms. I think through a lot of issues you've seen in this course, in particular how active management and portfolio formation work. This is a review paper, basically summing up a lot of this course. They do. I don't agree, see Cochrane, Comments on “The Returns to Currency Speculation” if you’re curious.. Wallison, Peter, Dissent from the Majority Report of the Financial Crisis Inquiry Commission Jan 14 2011.
Comments on ‘Macroeconomic Implications of Changes in the Term Premium’ My thoughts on the “Conundrum” and some deeper analysis of term structure than we’ll have time for in class. The most interesting numbers are the autocorrelations. University of Chicago Booth School of Business35150 Advanced Investments -- John H. Cochrane Winter 2014. See the file LICENSE for the licensing terms of the book. It includes sceptical views on just how important credit constraints and liquidity really are. Extends the argument to closed end funds. Use the “journal alphabetical” search to find the journal. Course Materials - (1) Using alignments of multiple When you're tired, look at this one. 3.
AEA link. Asset Pricing Ch 19.1 349-354.
Jonathan Lewellen 2013, "The cross section of expected stock returns" How well do these huge Fama MacBeth regressions of returns on to characteristics work out of sample? They claim that the difference between realized and implied volatility can forecast stock returns, at short horizons. Antti Ilmanen's book Expected Returns is an excellent summary of lots of things we do here, and also goes much further in some areas. The problems for each week will use some facts from that week's reading, and we will discuss readings in class. inferences and machine learning, and sharing a passion for However, he makes a great point that municipalities are much more likely to default if they know an insurer will lose money rather than if their own taxpayers and voters will lose money, so that historical default probabilities are a poor guide. The algorithmic way of life is best. Another paper on this cool phenomenon. Please give me feedback on their quality if you try them. Not really asset pricing, so not on the main list, but if you want to understand why the government did apparently crazy things, go here.
Cohen, Lauren, Karl Diether and Christopher Malloy, 2006, “Supply and Demand Shifts in the Shorting Market” Forthcoming Journal of Finance. Read 422-423, 435-453 now. You can skim the regressions.
Berk, Jonathan and Richard Stanton, “Managerial Ability, Compensation, and the closed-end fund discount” Journal of Finance 62, 529-556. Arvind Krishnamurthy and Annette Vissing-Jorgensen, 2012, The Aggregate Demand for Treasury Debt, Jstor link Journal of Political Economy, Vol. Pedersen's slides. (Not required: Slides) This is about the period before the crash, but the mechanism is the same.