1. Introduction This post reviews the analysis in Campbell, Lettau, Malkiel, and Xu (2001) who find that firm level volatility has been rising over the period from July 1962 to December 1997. I've posted the code I used here. What does this mean? … [Continue reading]
1. Introduction One of the most astonishing things about financial markets is that there is interesting economics operating at so many different scales. Yet, no one would ever guess this fact by looking at standard asset pricing theory. To … [Continue reading]
1. Introduction Where do macroeconomic fluctuations come from? Does common variation in firms' output necessarily come from a single source? In this post, I work through a model which suggests that productivity "factors" might be the result of … [Continue reading]
1. Motivating Example This post gives a non-technical summary of the results in my job market paper, Trading on Coincidences (2012). I start with a simple example. Suppose you see Apple among the $10$ stocks with the highest returns over the past … [Continue reading]
1. Introduction The "law of small numbers" is the name given to the well documented empirical regularity that people tend to overinfer from small samples in Tversky and Kahneman (1971). This post discusses a few of the results from Rabin (2002) … [Continue reading]