Tom Zimmermann

Financial Economist @UniCologne, PhD @Harvard. Interested in inflation, banks, machine learning and open-source asset pricing.

[Andrew Chen @achenfinance]

The August 2023 release of https://t.co/NeY1K3pQVC is live! @TomZ_Econ + I provide signals and returns for 212 published cross-sectional return predictors through Dec 2022. This year we added five option-based predictors from Bali-Hovakimian 2009 and An-Ang-Bali-Cakici 2014🧵

[Tom Zimmermann @TomZ_Econ]

Honored to receive @UniCologne 's future prize this year!

[WiSoFakultät_UniKöln @WiSoUniCologne]

Prof. Dr Zimmermann (@TomZ_Econ) from the Institute for Econometrics and Statistics @WiSoUniCologne awarded the #FuturePrize of the @UniCologne!
The Prize supports excellent scientists for their outstanding #research achievements.
Congratulations!👏
More👉 https://t.co/YwIN5ZtFPu

[Andrew Chen @achenfinance]

4/5 Despite the patches, the new data is almost identical to the April 2021 release. Regressing new returns on old returns gets an Rsq > 99% ~90% of the time. Of course, the standard summary stats are basically unchanged.

[Andrew Chen @achenfinance]

2/5 Our docs trace every anomaly to the relevant table in the original study. This let us show that our reproduced t-stats match the originals _quantitatively_. No other large anomalies dataset does this, to my knowledge. https://t.co/bu234zCDBS

[Tom Zimmermann @TomZ_Econ]

We just released the 2022 version of https://t.co/cUtJFtL4xp with updated returns through 2021, two new predictors and alternative 2x3 Fama-French style portfolio sorts. Take a look!

[Andrew Chen @achenfinance]

The 2022 release of https://t.co/to8dWmI2gW is live!! @TomZ_Econ and I provide 200 anomaly returns through the end of 2021, two new predictors (red in pic), and fixes for dozens of issues.

Openness + detailed docs + Github + annual updates = extremely high quality data. 💪🧵

[Tom Zimmermann @TomZ_Econ]

Come join our new MA program in Business Analytics and Econometrics at Cologne! https://t.co/YGRQiQgAlh
Looking forward to teaching with @MMensmann and @markusweinmann

[Andrew Chen @achenfinance]

The annual update of the Chen-@TomZ_Econ cross-sectional anomalies data will be up soon! Returns through the end of 2021, two new predictors from recent papers, Fama-French-style 2x3 portfolios, and fixes to minor bugs: all coming circa end-of-March at https://t.co/KKhhRPkMKt!

[The Bond Buyer @TheBondBuyer]

“We continue to think that disclosure is an important area to help provide some guidance,” the SEC's Ernesto Lanza said. https://t.co/qmRMTRJolB

[Tom Zimmermann @TomZ_Econ]

For daily updated forecasts, see the dashboard here: https://t.co/X7YS1SnRnb
Averaging over all models likely decreases variance but it looks like our model is not bad as a decent baseline 😊

[Tom Zimmermann @TomZ_Econ]

We’ve been contributing #COVID19 incidence forecasts (German state- and country-level) to the European (https://t.co/lFiYWnyrik) and German (https://t.co/S3UP0yMyTI) Forecast Hubs for past ~6 months. Evaluations there have model among most accurate ones, esp. for > 1 week horizon

[Florian Weigert @florian_weigert]

My chair is looking for a Ph.D. student in Finance (4-years contract, fully funded) starting in March 2022. Are you interested to empirically work on mutual funds and hedge funds? I am looking forward to your application.

Find the announcement here: https://t.co/MHjFk8ciRe

[Tom Zimmermann @TomZ_Econ]

Interesting! Would be great to see this at different points in time (my prior is it's mostly SAS ↓, R and Stata ↑. Python?).

[Ryan Israelsen @israelsen]

Finance/Economics Academics, which software package do you use for empirical work?

[Ryan Israelsen @israelsen]

Finance/Economics Academics, which software package do you use for empirical work?

[Tom Zimmermann @TomZ_Econ]

@mr_autumn @Koeln Haha, stimmt, in der Schnelle gar nicht gesehen ;-)

[Tom Zimmermann @TomZ_Econ]

Simplify? @Koeln

[Ivan T Ivanov @ivan_t_ivanov]

Economists find underreporting of municipalities' private debt obligations https://t.co/oCn8FwNQOA @TomZ_Econ @nwheinrich

[Tom Zimmermann @TomZ_Econ]

Cleanly identified effects of banking competition, great work!

[Andrew Chen @achenfinance]

I'll be talking about multiple testing statistics @ the CFR seminar on Thursday 7/15, 10-11:30 am DC time. Wanna know where Cam Harvey's t-stat > 3.0 hurdle comes from? We'll do it step by step.

Slides: https://t.co/WwzHqXPZXg
Registration (Zoom): https://t.co/G1t2YvKrtz

[Ivan T Ivanov @ivan_t_ivanov]

On Monday, I'll present new work at @BrookingsEcon on the limits of SEC disclosure regulation in the muni private debt market.

Paper here, joint with @TomZ_Econ & @nwheinrich:
https://t.co/j9Ly2VLX7q

We have three main findings...

[Tom Zimmermann @TomZ_Econ]

Open Source Asset Pricing w/@achenfinance now forthcoming at the Critical Finance Review!
New dedicated data page here: https://t.co/3TGgLR53vd

[Andrew Chen @achenfinance]

Open Source Asset Pricing w/ @TomZ_Econ is forthcoming @ Critical Finance Review!
https://t.co/ijpExdXIOe

I was taught sharing code is awful due to support requests (https://t.co/aiPe2ThTRH) but I get < 1 per month. And like other comments, support requests are often helpful.