Share this page!

Darren 🎄 Profile picture
Twitter logo
27 Dec, 4 tweets, 2 min read
One of my favorite quotes from this eye-opening book:

"July 30, 1931: Newspapers are full of articles telling people to buy stocks, real estate at bargain prices. They say times are sure to get better... The trouble is that nobody has any money." (p. xii)
mrzepczynski.blogspot.com/2020/12/one-ma…
"Reading his views in real time is fascinating. He has hopes for Hoover after 1929 and concerns with the Roosevelt policies. He writes about bank failures, the inability to collect on bills from those with nothing to give, fortunes made and lost in a wild stock market...
"...the bottom falling out on what was perceived as safe real estate, and the fear of not knowing when the depression will end or whether the latest policies would work. Unemployment led to protests and unrest. It was not clear whether life savings could be withdrawn from banks."

• • •

Missing some Tweet in this thread? You can try to force a refresh
　

Keep Current with Darren 🎄

Darren 🎄 Profile picture

Stay in touch and get notified when new unrolls are available from this author!

Read all threads

This Thread may be Removed Anytime!

PDF

Twitter may remove this content at anytime! Save it as PDF for later use!

Try unrolling a thread yourself!

how to unroll video
  1. Follow @ThreadReaderApp to mention us!

  2. From a Twitter thread mention us with a keyword "unroll"
@threadreaderapp unroll

Practice here first or read more on our help page!

More from @ReformedTrader

Darren 🎄 Profile picture
23 Dec
1/ Comparing Cost-Mitigation Techniques (Novy-Marx, Velikov)

"This paper compares the efficacy of three common transaction cost mitigation techniques: limiting a strategy to cheap-to-trade securities, rebalancing less frequently, and “banding.” "

papers.ssrn.com/sol3/papers.cf…
2/ "We identify the cost of trading from observed bid-ask bounce. [Buyer (seller) initiated trades tend to occur at higher [lower] prices.] Bid-ask bounce induces a negative serial correlation in transaction prices, which is stronger for stocks that are more expensive to trade."
3/ "Ignoring transaction costs, all seven of the strategies earn positive average annual returns and have significant CAPM alphas.

"The FF five-factor model explains all (most) of the performance of the large (small and micro) cap defensive and stock issuance strategies."
Read 13 tweets
Darren 🎄 Profile picture
8 Dec
1/ Science Fictions (Stuart Ritchie)

"Entirely avoidable errors routinely make it past the Maginot Line of peer review. Books, media reports and our heads are being filled with ‘facts’ that are incorrect, exaggerated, or drastically misleading." (p. 5)

amazon.com/Science-Fictio… Image
2/ "A set of experiments on 1,000 people found evidence for the ability to see the future using ESP. The paper was written by a top psychology professor, Daryl Bem, from Cornell. It was published in one of the most highly regarded, mainstream peer-reviewed psychology journals."
3/ "Our replication attempt showed nothing. Our undergrads weren’t psychic.

"We sent the paper to the same journal, the Journal of Personality and Social Psychology. The editor rejected it, explaining their policy of never publishing studies that repeated a previous experiment.
Read 77 tweets
Darren 🎄 Profile picture
8 Dec
1/ Impact of Crowding in Alternative Risk Premia Investing (Baltas)

"We create a framework to explore the implications of crowding. Divergence (convergence) premia like momentum (value) are tend to underperform (outperform) following crowded periods."

papers.ssrn.com/sol3/papers.cf…
2/ "When momentum is driven by net inflows, its turnover is likely to fall, as the investor remains positioned in the same assets.

"We hypothesize that crowding is more likely to have a destabilizing effect for divergence premia, as it can drive prices away from fundamentals."
3/ "Investors allocating to convergence premia have a natural anchor that signals the end of a profitable opportunity. Larger investor flows in can bring faster convergence of valuation spreads.

"We hypothesise that anchored strategies are more resilient to incoming flows."
Read 8 tweets
Darren 🎄 Profile picture
6 Dec
1/ The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation (Clare, Seaton, Smith, Thomas)

"We examine the effectiveness of trend following for global asset allocation (equities, bonds, commodities, real estate)."

papers.ssrn.com/sol3/papers.cf…
2/ Five major asset classes: Developed equity indicces, emerging equity indices, gvt bonds, commodities, real estate

Trend following = long/Tbill based on MA signals, rebalanced monthly

Risk parity = inverse vol weighting using trailing 12-month volatility

No transaction costs
3/ "Trend following shows considerable risk-adjusted performance improvements compared to their equally-weighted portfolios.

"Long-only trend will underperform buy-and-hold during major bull markets. This is the scenario largely witnessed for bonds during the period of study."
Read 14 tweets
Darren 🎄 Profile picture
6 Dec
1/ Pandemic Tail Risk (Breugem, Corvino, Marfè, Schoenleber)

"While tail risk of the market index did not move much before the 2020 COVID-19 outbreak, we document that tail risk of less pandemic-resilient economic sectors boomed in advance."

papers.ssrn.com/sol3/papers.cf…
2/ "We compute a measure of [lockdown] resilience based on the capability of a company to implement work-from-home.

"Sectors from low to high resilience are Consumer Staples, Materials, Consumer Disc, Industrial, Energy, Health Care, Utilities, Technology, and Financial."
3/ "In order to not over or underweight the influence of sectors with a really large or little market capitalization, we compute the equally-weighted return of the respective sectors within each specific resilience group."
Read 8 tweets
Darren 🎄 Profile picture
5 Dec
1/ Short-Selling Risk (Engelberg, Reed, Ringgenberg)

"Short sellers face unique risks, such as the risk that stock loans become expensive or are recalled. Stocks with more short-selling risk have lower returns, less price efficiency, less short selling."

papers.ssrn.com/sol3/papers.cf…
2/ "We calculate the ln of the variance of the daily Loan Fee for each stock over the past 12 months, then project this variable on a variety of lagged firm and lending market characteristics. The predicted value (ShortRisk) represents a trader’s estimate of short-selling risk."
3/ "Short-selling risk is lower for stocks with traded options and higher immediately following an IPO and for stocks with a large number of failures in the securities lending market.

"We use the predicted value from this model as a forecast of short-selling risk."
Read 13 tweets

Did Thread Reader help you today?

Support us! We are indie developers!

This site is made by just two indie developers on a laptop doing marketing, support and development! Read more about the story.

Become a Premium Member ($3/month or $30/year) and get exclusive features!

Become Premium

Too expensive? Make a small donation by buying us coffee ($5) or help with server cost ($10)

Donate via Paypal Become our Patreon

Thank you for your support!

Follow Us on Twitter!

Like this author's thread?

Get emails when @ReformedTrader has new unrolls!

Check out other threads from @ReformedTrader!

Read all threads by @ReformedTrader