used their correlations to link candidate enhancers to their putative These are also some classic additional readings you should look at if you get intersted in these topics. On the same exchange. Randall Dodd, Opaque Trades IMF Finance and Development 2010. Momentum is primarily a phenomenon of low credit firms. Anything written by Doug Diamond, Raghu Rajan, Anil Kashyap, Luigi Zingales Darrell Duffie and Gary Gorton is worth reading. He lived in Greece and France before The cross section of stock returns; from CAPM to value, size, momentum and anomalies, Main extra papers I plan to talk about in class, Cliff Asness, Lasse Pedersen, and Tobias Moskowitz, 2012, Value and Momentum Everywhere, Moskowitz website , forthcoming Journal of Finance. Famous as one of the first "demand curve for stocks slopes down" papers. We’ll come back to 424-435 later. This is a short, very clear overview of the CDS issue. Hasanhodzic, Jasmina, and Andrew W. Lo, 2006, “Attack of the clones”, Institutional Investor’s Alpha June 2006. Jagannathan, Ravi, and Yong Wang, 2007, Lazy Investors, Discretionary Consumption, and the Cross-Section of Stock ReturnsThe Journal of Finance, 62 (4) 1623-1661, also at JSTOR The consumption CAPM works quite well from December to December. The source of the dp vs. ex post return graph, and proof I got one call right: no, Dec 2008 was not the time to dump everything. He obtained his Ph.D. from MIT, where he received Table 3 is the best, documenting who takes money from who. This book presents the mathematical and algorithmic properties of special classes of perfect graphs. I’ll typically just show one table or picture. networks. People - Naik, Narayan Y., 2006, “Why is Santa so Kind to Hedge Funds?’’ Manuscript, London Business School . Do the required readings before class. Liquidity, short sales constraints, downward-sloping "demand" curves. the Sprowls award for the best doctorate thesis in computer science, and the first Paris Kanellakis graduate fellowship. (Optional) Asset Pricing Ch.12,  229-239; 243-250. You may not redistribute them, post them on the web, etc. Cohen, Lauren, Karl Diether and Christopher Malloy, 2006, “Supply and Demand Shifts in the Shorting Market” Forthcoming Journal of Finance. The rest (really the meat of the paper) is a set of regressions designed to see if low-latency trading helps or hurts the markets. Here’s FF’s view of the issue. They emphasize currency momentum as well as carry trade, see also Moskowitz and Asness "value and momentum everywhere," and address fat tails. I found the link in his paper "...and the cross-section of expected returns" with Yan Lu. The paper suggests that something very like money demand occurs for long-term Treasury debt. Cochrane, John, 2009, Note explaining Fama and French. Dealers buy from big customers and sell to small types, so they pass along price increases quickly, but only pass along price decreases slowly. microRNAs, developmental enhancers, regulatory motifs, and biological Read it. Learn more. Carhart, Mark M., 1997, “On Persistence in Mutual Fund Performance,” Journal of Finance 52, 57-82. Is autocorrelation in fund returns a sign of illiquidity or report management? inferences and machine learning, and sharing a passion for No, as sorting on the first six months of the year does better than sorting on the second six months of the year. There is a huge amount being written on the financial crisis of course. What's it all about, alpha? 31, pp. 875-899. Jakub Jurek, and Erik Stafford, 2012, The Cost of Capital for Alternative Investments, forthcoming Journal of Finance. Gorton, Gary, 2008, "The Subprime Panic " Manuscript, Yale University, forthcoming European Financial Management. Cochrane, John H. and Monika Piazzesi 2008, Decomposing the Yield Curve, Manuscript. The TIPS-Treasury Bond Puzzle" UCLA link A large fixed income "arbitrage." Disagrees a lot with Stulz. Frazzini, Andrea, and Lasse H. Pedersen 2013 Betting against beta Section II-IV only; focus on Table III and IV. Gorton, Gary B, 2010, Questions and Answers about the Financial Crisis Manuscript, Prepared for the U.S. Financial Crisis Inquiry Commission. University endowments care not so much about absolute money, but about having more than their competitors. When institutions sell, individuals buy. Week 1 detailed notes This week they are nearly a separate text. Squam Lake Working Group, “Credit Default Swaps, Clearinghouses and Exchanges”  2009. They claim that the difference between realized and implied volatility can forecast stock returns, at short horizons. Graph Theory was invented many years ago, even before the invention of computer. The crash really creamed the carry trade since foreig interest rates were higher than dollar rates, but the flight to quality made the dollar go up. 27-31. Example. It finds alpha, and especially in "difficult" to execute strategies that require modeling. Course Materials - All Rights Reserved. Cross-Sectional Patterns in Behavior and Performance. Narasimhan Jegadeesh and Sheridan Titman 2011, Momentum, Annual Review of Financial Economics Vol. phylogeny, resulting in drastically higher accuracies than any Inclusion in the S&P500 raises your price a bit. It's not as strong as you might think, suggesting illiquidity rather than results management. If nothing happens, download the GitHub extension for Visual Studio and try again. Raphael Douady, Adil Abdulali, and Ingmar Adlerberg "The Madoff Case: Quantitative Beats Qualitative!". Mitchell, Mark, Todd Pulvino and Erik Stafford, 2004, “Price Pressure Around Mergers” Journal of Finance, 59, 31-63. diseaseassociated single-nucleotide polymorphism (SNP) variants linked Chen, Hsiu-Lang, Narasimhan Jegadeesh, and  Russ Wermers, 2000, “The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers” The Journal of Financial and Quantitative Analysis, Vol. Tables I, II, Fig. Berkshire Hathaway Letter This is beautifully written and I agree with almost all of it, and illustrates Buffet’s thinking in the depth of the crisis. Short simple version, Ang, Andrew "Liquidating Harvard," Columbia University Case. Rent and save from the world's largest eBookstore. We use optional third-party analytics cookies to understand how you use GitHub.com so we can build better products. Asset Pricing Ch. Go here if you're looking for general information. We have also used How you could easily have uncovered Madoff with a simple regression! And a strong suspicion that many anomalies are only present in dusty corners of the market. 3. This allows him to see if transactions costs and expenses really do account for Carhart’s bad alphas. Stulz, Rene, 2007, “Hedge Funds: Past, Present and Future,” Journal of Economic Perspectives 21(2) 175-194. Cochrane, John H. Asset pricing after the crash   March 20 2009 This is a piece based on a panel discussion titled “Rethinking asset pricing” at the Spring 2009 NBER Asset Pricing meeting. See the file LICENSE for the licensing terms of the book. Skim the introduction and skip section 5. target genes, infer cell type-specific activators and repressors, and Asset Pricing Ch 20 p. 422-453. Note: you do not need to buy the whole book Asset Pricing. which led to a complete doubling of the gene count, and was rapidly Insider Monkey: Warren Buffett's style drift and Warren Buffett's alpha; French, Kenneth R., "Presidential Address: The Cost of Active Investing," Journal of Finance 63 (4) 1537-1573 (2008). Foundations. Cochrane, John, 2011, Discount rates Journal of Finance 66, 1047-1108 (August 2011). (Not required: Slides) This is about the period before the crash, but the mechanism is the same. This is the long version of "Five Myths." We see holdings once per quarter. Liquidity is the frosting on the cake of finance. You must be connected to the Booth network or enable the proxy server mechanism on your own machine. Cochrane, John H., 2007, “Portfolio theory” draft of a new chapter for Asset Pricing. Information Theory, Inference and Learning Algorithms, Error Correction Coding: Mathematical Methods and Algorithms, Factor Graphs and the Sum-Product Algorithm, Partition Functions of Normal Factor Graphs, Codes on Graphs: Duality and MacWilliams Identities, On the Uniqueness of Loopy Belief Propagation Fixed Points, Sudoku: An Application of Message Passing, How to Compute Weight Enumerators of Convolutional Codes, A Recursive Approach to Low Complexity Codes, The Capacity of Low-Density Parity-Check Codes under Message-Passing Decoding, Low density parity check codes with semi-random parity check matrix, Stopping set distribution of LDPC code ensembles, Deterministic Constructions for Large Girth Protograph LDPC Codes, Channel polarization: A method for constructing capacity-achieving codes for symmetric binary-input memoryless channels, Construction and Block Error Rate Analysis of Polar Codes Over AWGN Channel Based on Gaussian Approximation, Iterative multiuser joint decoding: unified framework and asymptotic analysis, A statistical-mechanics approach to large-system analysis of CDMA multiuser detectors, A CDMA multiuser detection algorithm on the basis of belief propagation, Analysis of Belief Propagation for Non-Linear Problems: The Example of CDMA (or: How to Prove Tanaka's Formula), Asymptotic Mean-Square Optimality of Belief Propagation for Sparse Linear Systems, A single-letter characterization of optimal noisy compressed sensing, Bayesian Compressive Sensing Via Belief Propagation, Exploiting Structure in Wavelet-Based Bayesian Compressive Sensing, Message Passing Algorithms for Compressed Sensing, Probabilistic reconstruction in compressed sensing: algorithms, phase diagrams, and threshold achieving matrices, Information-Theoretically Optimal Compressed Sensing via Spatial Coupling and Approximate Message Passing, Compressive Imaging using Approximate Message Passing and a Markov-Tree Prior, Analytic and algorithmic solution of random satisfiability problems, Solving Constraint Satisfaction Problems through Belief Propagation-guided decimation, On the cavity method for decimated random constraint satisfaction problems and the analysis of belief propagation guided decimation algorithms, Using Linear Programming to Decode Binary linear Codes, Graph-Cover Decoding and Finite-Length Analysis of Message-Passing Iterative Decoding of LDPC Codes, Decomposition Methods for Large Scale LP Decoding, A Unified Framework for Linear-Programming Based Communication Receivers, An Integer Programming Model for the Sudoku Problem. Krishnamurthy, Arvind, 2009, “How Debt Markets Have Malfunctioned in the Crisis” Winter 2010 Journal of Economic Perspectives. two largely independent evolutionary forces, dictating gene- and Other “not required” readings are further readings in some main topic areas, for your interest if you want to go deeper. The graph of Madoff returns vs. S&P 500 really says it all. What, you thought it couldn't happen again? A Combinatorial Approach to Matrix Theory and Its Applications, Discrete Mathematics and Its Applications. Computational Genomics, the NSF CAREER award, the Alfred P. Sloan Fellowship, the Karl Van Tassel chair in EECS, Price pressure, downward sloping demand, etc. Meetings - Price Discovery in Illiquid Markts: Do Financial Asset Prices Rise Faster than they Fall? This is, I think, the biggest documented inefficiency in Finance. D'Avolio, Gene, 2002, The Market For Borrowing Stock, Journal of Financial Economics 66(2-3) 271-306. Syllabus and Reading list. In Oct 2008, it seems that longs got wiped out on the way down! Please post links rather than post copies of the files, so that your users get any updates which I post here. All the math especially for intertemporal portfolio theory. Jurek, Jakub, 2013, "Crash-Nuetral Currency Carry Trades," Manuscript Princeton Univeristy. Only read to p. 18. The most interesting numbers are the autocorrelations. How Lehman dressed its windows -- and MF global did the same thing later. 35, No. An investigation of new anomalies that have cropped up since value. Published articles are the Copyright of their respective publishers. Our endowment, and Harvard's, went on a fire sale in December 2008. Lecture notes will cover what you need to know: what a time-series, cross-section and Fama-MacBeth regression are and how to use -- not derive -- formulas.

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