I was very excited to see that Bloomberg has a liquidity index on Treasuries, only to find out that this is in fact the noise measure of Hu, Pan, Wang (2013). Hi, @Bloomberg@markets , a citation to our contribution would be appreciated.
Paper: https://t.co/FRAofxCMeg
Can't believe Elon Musk spent $44 billion to pay for a social media platform, when he could have spent the same amount on sponsoring Stata licenses for 100 econ students.
My 1st pub! My favorite thing about this paper was the scientific process of discovery: we found some empirical results, wrote a model to explain them, realized the model had more predictions, and then tested those predictions (even bought more data ex-post to do it)... 1/5
Just discovered this fantastic webpage that gives every possible teaching graph for economics that you would ever want all manipulable on the web. Fantastic. https://t.co/PH7FiXW0dE
I took a rather winding road, but I guess I am about to sign a tenured contract. Thanks to the colleagues, coauthors and friends who made this possible.
Data and code to replicate "Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?" with Lorenzo Garlappi and @RamanUppalProf now available here:
Data and code: https://t.co/YxtMwHYqCT
RFS paper: https://t.co/B2V2idyeRw
Enjoy!
The Review of Finance's impact factor has risen to 3.894, from 2.885 last year and 1.906 the year before. Part of the increase is due to the IF now containing Early Access articles - without it, the IF would have risen to 3.298. 5-year IF has risen from 3.066 to 4.653.