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Darren 🥚 🐣 🕊️ Profile picture
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1 Sep, 7 tweets, 4 min read
New SSRN papers: September 2021
(I haven't read these, but the abstracts look interesting.)

Risk-Return Relation Puzzle
papers.ssrn.com/sol3/papers.cf…

How Important Are Semi-Annual Earnings Announcements? An Information Event Perspective
papers.ssrn.com/sol3/papers.cf…

August:
Persistence of Fee Dispersion among Mutual Funds
papers.ssrn.com/sol3/papers.cf…

Stock Market and Real Economy: Unwritten History Matters!
papers.ssrn.com/sol3/papers.cf…

Alternative investments in the Fintech era: The risk and return of Non-Fungible Token (NFT)
papers.ssrn.com/sol3/papers.cf…
Sales & Marketing Workforce Growth and Firm Performance
papers.ssrn.com/sol3/papers.cf…

Earth System Interventions as Technologies of the Anthropocene
papers.ssrn.com/sol3/papers.cf…
People’s Perceptions of Inflation (A Survey Data Analysis)
papers.ssrn.com/sol3/papers.cf…
Modeling Conditional Factor Risk Premia Implied by Index Option Returns
papers.ssrn.com/sol3/papers.cf…
Macro-Finance and Factor Timing: Time-Varying Factor Risk and Price of Risk Premiums
papers.ssrn.com/sol3/papers.cf…

Factor Timing: Keep It Simple
researchaffiliates.com/content/dam/ra…

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More from @ReformedTrader

Darren 🥚 🐣 🕊️ Profile picture
9 Sep
1/ Explaining the Recent Failure of Value Investing (Lev, Srivastava)

"We identify two reasons for the failure of value investing: (1) accounting deficiencies and (2) fundamental economic developments which slowed down mean reversion of value & glamour."

papers.ssrn.com/sol3/papers.cf… Image
2/ "The value strategy had already lost much of its potency in the late 1980s and yielded negative returns in the 1990s, barring a brief resurgence in 2000-2006.

"The expensing of intangibles started to have a major effect on book values and earnings in the late 1980s." ImageImage
3/ "The effect of our intangibles book-value adjustments are more pronounced for glamour than for value stocks. Among glamour stocks, our adjustments had a larger effect on small than large companies, since small, high-growth glamour firms tend to invest heavily in intangibles." ImageImageImageImage
Read 10 tweets
Darren 🥚 🐣 🕊️ Profile picture
4 Sep
1/ Is U.S. housing in a bubble?

TLDR: Maybe. Valuations are consistent with this, especially considering real yields, but borrowers are also in better shape than in 2006.

Maybe build a one-sheet Excel model for expected housing returns and decide for yourself.

Thread
2/ Most of the realtors I've talked to tell me that the housing market is even hotter than in 2005, at least when metrics like months of inventory, days on market, and rapid price increases are concerned.

3/ Where I live, houses are on the market for <20 days on average, and buyers pay an average of 10% above asking and waive their inspection contingencies. Some are coming in with all cash.

Inventory (valuation) matters a lot in the short (long) term.

Read 16 tweets
Darren 🥚 🐣 🕊️ Profile picture
23 Aug
1/ Unsettled: What Climate Science Tells Us, What It Doesn't, and Why It Matters (Steven Koonin)

"This book is about how science, with its certainties and uncertainties, becomes The Science—how it gets communicated, & what’s lost in the process." (p. 15)

amazon.com/Unsettled-Clim… Image
2/ This is the author's Wikipedia page. There has been a vigorous back-and-forth discussion about this book's content.

The author has worked for BP, NYU, and Obama (undersecretary for science).
en.wikipedia.org/wiki/Steven_E.…

Thomas Kuhn's work is also relevant:
3/ “The science of climate is neither settled nor sufficient to dictate policy. Rather than an existential crisis, we face a wicked problem that requires a pragmatic balancing of costs and benefits.” —William W. Hogan, professor of global energy policy at Harvard Kennedy School
Read 41 tweets
Darren 🥚 🐣 🕊️ Profile picture
23 Jul
1/ Zillow Talk: Rewriting the Rules of Real Estate (Rascoff, Humphries)

"The democratization of real estate data is profoundly important. The enemy of truth isn't the lie but the myth. This book deploys data to replace folklore with facts." (p. 9)

amazon.com/Zillow-Talk-Re… Image
2/ "In 1950, the average number of residential square feet per person in the United States was less than 300. By 2000, that figure had climbed to almost 900—both because homes got a lot bigger and families got a bit smaller." (p. 10)

More on this:
3/ "In 1970, companies used to plan for 600 sq.ft. per employee. Today, thanks to technology, collaboration, and the near-extinction of office libraries, secretaries, and “computer rooms,” the average number of office square feet per person has shrunk to less than 100." (p. 10)
Read 137 tweets
Darren 🥚 🐣 🕊️ Profile picture
23 Jul
1/ Market Distortions When Agents are Better Informed: The Value of Information in Real Estate Transactions (Levitt, Syverson)

"Agent-owned homes sell for 3.7% more than other houses & stay on market longer, even after controlling for characteristics."

papers.ssrn.com/sol3/papers.cf…
2/ "As a result of an information advantage relative to clients, expert agents may mislead clients by exaggerating the costs or difficulty of a solution, providing unneeded services, or otherwise distorting information to maximize the expert’s own payoff.
3/ "A listing agent has strong incentives to sell a house quickly, even at a lower price, and thus may encourage clients to accept sub-optimally low offers too quickly.

"Typically, the agent receives only 1.5% of each marginal dollar of the price for which the house sells.
Read 11 tweets
Darren 🥚 🐣 🕊️ Profile picture
22 Jul
1/ Do Real Estate Brokers Add Value When Listing Services are Unbundled? (Bernheim, Meer)

"In an open-access listing service used by all sellers, when listings are not tied to brokers, a seller's use of a broker reduces final sale price by 5.9-7.7%."

papers.ssrn.com/sol3/papers.cf…
2/ "Our market has a single open-access listing service used by essentially all sellers, regardless of whether they employ brokers. The market consists of roughly 800 houses and condominiums located in a collection of largely contiguous neighborhoods on Stanford University land.
3/ "Because ownership is limited to Stanford faculty and some senior staff, the MLS plays no role. (The listing service is free.) Brokers charge standard commissions (historically 5-6%).

"This allows us to identify effects of brokerage services when separated from MLS listings."
Read 14 tweets

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