He is Risen!
A Happy Easter to all of you and yours. We're celebrating ours the traditional way. We visited my mom and two brothers yesterday, and did the church thing this morning. Now it's to Grandma's place for Easter Dinner with the Unknown Wife's side of the family. It'll be a good time - three sisters, each with husbands and two kids. So there'll be 14 people in a fairly small house on the Connecticut Shore.
The Unknown Wife, her mom, and her two sisters married pretty interesting sorts - there's one pastor (Unknown Mother-in-Law's married him after her first husband passed away), one independent actuarial consultant, one college professor, and one therapist. Not that it matters a whole heck of a lot, but of the average "spousal IQ" for the family is probably 140 or so). So there's always lots of interesting conversation.
Here's hoping you all have a good time with your nearests and dearests.
Beware The Underpants Gnomes
It's getting near to the end of the semester, so I get a bit weird at times. Today was one of them. I was lecturing on Efficient Markets, and I asked them what happens when new information arrives. Their answer was that prices change. Hence the reference to the Underpants Gnomes.
The Underpants Gnomes come from a South Park Episode where one of the kids says that Underpants Gnomes are stealing his underpants. After a while the gang finds the gnomes' cave, and ask the gnomes why they're stealing underpants. Their answer was that they have a three step plan:
Then I told them that their answer was like the Underpants Gnomes - they were missing something. So, one said "After the information arrives, they analyze it." So now, they have Step 1: Information arrives; Step 2: The information is analyzed; Steep 3: ???; Step 4: PRICES Move!
This went on for a while, and they finally got it (they didn't realize that there had to be trading taking place). But from now on. whenever they're missing one or more steps in a process or algorithm, I'll tell them they're acting like Underpants Gnomes.
It's a pretty common occurence - a student give a response that has "some" of the puzzle. But they think they're correct. The hard thing is to get them to understant ALL the steps in the solution or logic chain. Since I'm going to beat them over the head with this idea for the rest of the semester, hopefully they'll retain it. And I know I'll use this in my repertoire in future semesters almost from day one.
With my luck, they'll mention Underpants Gnomes on my evaluations. I can just imagine what the Dean will see when he sees that in the comments section. Ah well -- he's already has figured out that I teach a bit differentlyt than his other faculty.
In case you're interested, here's a You Tube Clip of the episode, and here's some background (from Wikipedia).
And yes - I am well past ready for the semester to end. Boy, am I past ready - only ten more days in the classroom before finals (but who's counting?)
The Underpants Gnomes come from a South Park Episode where one of the kids says that Underpants Gnomes are stealing his underpants. After a while the gang finds the gnomes' cave, and ask the gnomes why they're stealing underpants. Their answer was that they have a three step plan:
- STEP 1: Collect Underpants
- STEP 2: ?????
- STEP 3: PROFIT!
Then I told them that their answer was like the Underpants Gnomes - they were missing something. So, one said "After the information arrives, they analyze it." So now, they have Step 1: Information arrives; Step 2: The information is analyzed; Steep 3: ???; Step 4: PRICES Move!
This went on for a while, and they finally got it (they didn't realize that there had to be trading taking place). But from now on. whenever they're missing one or more steps in a process or algorithm, I'll tell them they're acting like Underpants Gnomes.
It's a pretty common occurence - a student give a response that has "some" of the puzzle. But they think they're correct. The hard thing is to get them to understant ALL the steps in the solution or logic chain. Since I'm going to beat them over the head with this idea for the rest of the semester, hopefully they'll retain it. And I know I'll use this in my repertoire in future semesters almost from day one.
With my luck, they'll mention Underpants Gnomes on my evaluations. I can just imagine what the Dean will see when he sees that in the comments section. Ah well -- he's already has figured out that I teach a bit differentlyt than his other faculty.
In case you're interested, here's a You Tube Clip of the episode, and here's some background (from Wikipedia).
And yes - I am well past ready for the semester to end. Boy, am I past ready - only ten more days in the classroom before finals (but who's counting?)
A New Project
I finished three projects this past semester that I'd been working on for a while. So, that means I get to start a new one. It should be interesting for a number of reasons. First, it's an idea that I first thought of over 7 years ago. I initially filed it away since I had too many other things going on. In addition, it involved time-series analysis, and I don't have a very good grounding in that part of econometrics.
But one of my new colleagues has been doing exactly the kind of time series I need (vector autoregression) for many years. He's an interesting sort - it's been almost 40 years since he got his Ph.D., and he won the College Research award this past year. He averages 2-3 pubs a year after 39 years in the game. Now THAT is truly impressive. He's also a pretty funny and lively guy. So I'm looking forward to working with him.
In addition, it's the kind of research topic I enjoy - it brings together a couple of different strands of literature, and also extends some earlier work with an added twist. Someone once called my style the "Chinese Menu" approach to research - pick one topic from column A and one from column B and mix them together.
And finally, it'll require a fair bit of SAS programming to put the data together (really - that's a plus, not a minus). It'll take a couple of weeks of work and will require combining data from three separate large data sources. But that shouldn't be too hard (famous last words there, eh?), since I'm a fairly good programmer. It'll even require me to learn a few new tricks, which is always fun.
There are only 4 weeks left of classes at Unknown University, and with luck I'll have the data pulled together to hand off to my colleague by the time final exams come around. Then I can focus on my cycling for a bit while HE tortures the data.
But one of my new colleagues has been doing exactly the kind of time series I need (vector autoregression) for many years. He's an interesting sort - it's been almost 40 years since he got his Ph.D., and he won the College Research award this past year. He averages 2-3 pubs a year after 39 years in the game. Now THAT is truly impressive. He's also a pretty funny and lively guy. So I'm looking forward to working with him.
In addition, it's the kind of research topic I enjoy - it brings together a couple of different strands of literature, and also extends some earlier work with an added twist. Someone once called my style the "Chinese Menu" approach to research - pick one topic from column A and one from column B and mix them together.
And finally, it'll require a fair bit of SAS programming to put the data together (really - that's a plus, not a minus). It'll take a couple of weeks of work and will require combining data from three separate large data sources. But that shouldn't be too hard (famous last words there, eh?), since I'm a fairly good programmer. It'll even require me to learn a few new tricks, which is always fun.
There are only 4 weeks left of classes at Unknown University, and with luck I'll have the data pulled together to hand off to my colleague by the time final exams come around. Then I can focus on my cycling for a bit while HE tortures the data.
Monday Link Dump
It's been a hectic week, so I haven't posted much. As a result, there's a number of interesting pieces that have been sitting in my bloglines account (some for a while). So, it's time for another link dump:
Enough bloggery - back to work.
Investing:
We were just talking in class about the "neglected firm" effect, where firms with less (or no) analyst coverage earn higher risk-adjusted returns. CXO Advisory Group just highlighted a paper on a variant of this phenomenon. In "Media Coverage and the Cross-Section of Stock Returns", Fang and Peress find "stocks with no media coverage outperform stocks with high media coverage, rebalanced monthly, by 0.23% per month (3% per year) after adjusting for market, size, book-to-market, momentum and liquidity factors.
And in another piece, CXO reports on a paper by Hur and Sharma titled "Stock Market Returns and Size Premium". This paper indicates that the "Size Premium" (where smaller firms earn abnormal risk-adjusted returns is driven by down markets. In other words, small firms earn a "fair" risk adjusted return in up markets, buy have positive risk adjusted returns in down markets.
Private Equity and Corporate Finance:
The Wall Street Journal reports on the increasing trend where companies use leveraged recapitalizations as "do it yourself LBOs" in "How Borrowing Yields Dividends For Many Firms" (note: online subscription required).
For those who can't get enough of the world of Private Equity, there's a blog called BlogginBuyouts (HT: Abnormal Returns)
Fun:
David Tufte at VoluntaryXchange links to the Movie Cliche of The Day
Top 100 April Fool's Jokes of All Time
From the Spaghetti tree to H.G. Well's Martian Invasion broadcast, the media playing tricks on the public is an April Fool's tradition.
The Museum of Hoaxes has compiled a list of the top 100 April Fool's Day hoaxes of all time. My personal favorites are#7: Alabama changing the value of pi and #51: SmelloVision.
For the other 98, click here.
The Museum of Hoaxes has compiled a list of the top 100 April Fool's Day hoaxes of all time. My personal favorites are#7: Alabama changing the value of pi and #51: SmelloVision.
For the other 98, click here.
Off At The R.I.S.E. Forum
I've been away from the Blog for the last few days for a couple of reasons. First, because I was getting a big burned out, and needed a few days off.
Second, and more important, I was at a conference in the teeming metropolis of Dayton Ohio at the 7th annual R.I.S.E (Redefining Investment Strategy Education) Forum. For those of you who aren't familiar with it, here's a description from last year's press release:
Since this was my first time at R.I.S.E., I went solo (in other words, I didn't take any students from Unknown University). It burned up a couple of days at the end of the semester (when I couldn't really spare them), but it was well worth it. I heard some good sessions on estimating cash flows, value investing, and private equity. And there was a great session on Saturday where a number of faculty advisors and/or trading room managers from different schools shared their experiences.
Even more important than the sessions, however, was the chance to network. I had a number of good discussions with SMIF faculty advisors from other schools, and have quite a few ideas on how to improve our fund.
On Friday night, instead of going to the dinner at the U.S.A.F museum, I went instead to the "Oregon" district (only a few miles away from the hotel). It's an interesting and extremely funky place - everything from tattoo shops to espresso bars to a Christian Bookstore right next to a porn shop. I had a good meal of sushi and Thai food at Thai 9 and then sat at a table outside the neighboring coffee bar and watched the locals go by for about an hour (hey - I'm the type of persin who likes to watch people at airports).
Next year, I'll definitely bring some of Unknown University's students with me. All I have to do now is hit my Dean up for some $$ (or get some of the investment fund's alumni to pitch in). But I might not bring them to the Oregon district - there are some things I'd rather not know...
Second, and more important, I was at a conference in the teeming metropolis of Dayton Ohio at the 7th annual R.I.S.E (Redefining Investment Strategy Education) Forum. For those of you who aren't familiar with it, here's a description from last year's press release:
The University of Dayton will host the sixth annual R.I.S.E. (Redefining Investment Strategy Education) Forum from March 30 to April 1, 2006. R.I.S.E. is the first forum of its kind to bring students, faculty, and Wall Street together in an interactive learning environment to discuss a range of issues facing tomorrow’s leaders in the financial services industry. More than 1,200 participants, including undergraduate and graduate finance students and professors from universities around the world, will join professionals and internationally renowned industry leaders in what is the world's largest student investment conference.
Even more important than the sessions, however, was the chance to network. I had a number of good discussions with SMIF faculty advisors from other schools, and have quite a few ideas on how to improve our fund.
On Friday night, instead of going to the dinner at the U.S.A.F museum, I went instead to the "Oregon" district (only a few miles away from the hotel). It's an interesting and extremely funky place - everything from tattoo shops to espresso bars to a Christian Bookstore right next to a porn shop. I had a good meal of sushi and Thai food at Thai 9 and then sat at a table outside the neighboring coffee bar and watched the locals go by for about an hour (hey - I'm the type of persin who likes to watch people at airports).
Next year, I'll definitely bring some of Unknown University's students with me. All I have to do now is hit my Dean up for some $$ (or get some of the investment fund's alumni to pitch in). But I might not bring them to the Oregon district - there are some things I'd rather not know...
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