McNulty BlogMcNulty BlogAcademic Finance and Research Methods A collection of very useful posts that help those having trouble with very esoteric topics within the areas of study listed previously Articles
Fallacies in the Arguments of Efficient Market Critics: Part Two
2007-10-23 16:08:00 By fundamentally analyzing a company one can determine the intrinsic value and see if the market has mispriced the security. This statement is the bread and butter of fundamental analysts, and is also blatantly incorrect from what the majority of research has came to conclude. It has been proposed with extremely strong evidence that although profitability is mean ... More About: Market , Part , Critics , Critic , Efficient
Estimating Non-Linear Functions with OLS Regression
2007-10-10 16:32:00 In empirical research, you’ll often come across variables that are not related in a linear way. There are methods to estimate non-linear functions, but many involve things far more complicated than OLS regression. Luckily we have a method of estimating non-linear functions using OLS! A prime example of a non-linear function in economics is the Cobb-Douglas production function (CDPF). Below ... More About: Functions , Regression
Read up! Previous Research You?ll Need to Know
2007-10-05 23:29:00 Here’s a few papers hosted on the SSRN network you’ll find helpful for background purposes while engaging in financial research. The links are to the abstracts, but you can usually download the paper from the sources further down the page. The Equity Premium Forecasting Profitability and Earnings The Adjustment of Stock Prices to New Information Profitability, Growth, and Average Returns SSRN is ... More About: Research , Read
Identifying and Correcting for Heteroscedasticity
2007-10-01 20:53:00 Heteroscedasticity is where regression results produce error terms that are of significantly varying degrees across different observations. Another way of saying this is basically that as your independent variable gets larger, so does the distribution of error terms around it. The picture below may help significantly if your having trouble what we’re describing. (Sometimes it’s also ... More About: Rect
Fallacies in the Arguments of Efficient Market Critics: Part One
2007-09-28 02:00:00 I will attempt to counter the flawed arguments and wrongly placed assumptions often used in attempt to invalidate the presence of market efficiency. Rarely is it argued that the financial markets are perfectly efficient, but the overwhelming consensus of research has provided tremendous amounts of significant evidence that more than hint at its existence. The out-performance of small-cap stocks and value stocks throughout time ... More About: Stocks , Market , Trading , Part , Equities
The Fama-French Three Factor Model
2007-09-25 17:34:00 Research of stock prices, fund performance, and other related topics has been long studied by academics. In 1993 Eugene Fama and Kenneth French developed a three factor model that has significant explanatory power when describing returns. These three factors are the market premium, HML, & SMB. This post is not meant to explain the model, that would ... More About: Model , Factor , Actor
Choosing a Functional Form
2007-09-24 21:30:00 So you have your data, independents, and some particular dependent variable. You run your regression and bam, you get some pretty bad numbers. Your r-squared it low, your ANOVA F test is not significant, and your variables have some pretty low t-statistics. It all made sense, the variables have viable economic impact on your dependent variable, ... More About: Statistics , Form
Hello world!
2007-09-21 01:29:00 Just started this blog. See the ‘About’ page to read what it’s about in the meantime. More About: World , Hello World |
|
 |
|
 |
