Behavioral finance

Time Flies and Statistics Lag: Thoughts on Factors

Aug 14th, 2012 | Filed under: Asset pricing, Behavioral finance, Today's Post

Clifford Asness and Andrea Frazzini show that an important detail in the way scholars go about studying factor pricing and behavioral finance is seriously flawed. The detail in question dates to an influential paper by Eugene Fama and Kenneth French, "The Cross-Section of Expected Stock Returns," (1992).

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Efficiency May Be Special Case of Adaptation

Apr 24th, 2012 | Filed under: Alpha Strategies, Behavioral finance, Hedge Fund Strategies, Today's Post

In a new paper, Andrew Lo has educed from his Adaptive Markets Hypothesis five practical conclusions, among them that during times of crisis, the usual positive relationship between risk and return may not hold. There is in general a "time-varying and often negative relationship between the two."

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