The more Long Chen's work I read, the more I like it. I recently mentioned one of his pieces on a new 3-factor model . Here's another, on the momentum effect, titled "Myopic Extrapolation, Price Momentum, and Price Reversal ." In it, he links the well-known momentum effect to patterns in firm ... Read more

I'm still working on updating my data. As usual, what I thought would be a "simple" three to four-day jobhas stretched out to almost two weeks of work. At least I'm not this person. ... Read the full post ... Read more

We're just got back from a trip to Wal-Mart (what could be more American) to buy some clothes for the Unknown Daughter (she's grown enough that her old bathing suit no longer fits). The Unknown Wife and Unknown Daughter tried on clothes, while I wheeled the Unknown Baby Boy around the store until he ... Read more

Shortly after 2 today, Financial Rounds had its 250,000th visitor. Man - I never imagined there were so many people out there with Internet connections and this much free time on their hands. In all seriousness, thanks for reading. I'm humbled. ... Read the full post ... Read more

Newsweek recently ran a profile of Paul Wilmott, one of the biggest names in the "quant" world. Here are the opening paragraphs Imagine an aeronautics engineer designing a state-of-the-art jumbo jet. In order for it to fly, the engineer has to rely on the same aerodynamics equation devised by physi ... Read more

Just another day (or two) of torturing data. Like I mentioned a couple of days ago, a week back I decided to update a data set to include the last year or so of data (the data sources I use were recently updated). Like most "simple" jobs, it's turned out to be much more of a hairball than I expecte ... Read more

First, a little background on "factor models": The CAPM model for estimating expected returns is the oldest and most widely know of all finance models. In it, exposure to systematic risk (i.e. beta) is only factor that gets "priced" (i.e. that's related to expected returns). Next, in 1993, Fama ... Read more

Here's a short update on goings-on in the Unknown Household: The Unknown Daughter is now done with school for the summer. I get a feeling that she'll be doing a lot of social activities this summer - since Friday (the last day of school), she's already had one sleepover (at a cousin's house), and ... Read more

Every once in a while (actually, make that "on a regular basis), the Unknown Daughter comes out with something that really floors me. The other day, UD was asking about my grandparents. I told her that both grandfathers worked it the fabric mills in my hometown (back in the day, there were three ... Read more

Thanks to Analyst Forum (one of my regular stops), I just came across a pretty good blog on Private Equity called The Private Equiteer . It has a lot of posts that go through the basics of the private equity world ( here's a list of many of them). I'm adding it to the blogroll. ... Read t ... Read more