Saturday, January 30, 2010

Weekend fare

Do you need data sets for all publicly traded U.S. companies and all non-U.S. firms with market caps greater than $5 as of January 1, 2010? Aswath Damodaran, professor of finance at the Stern School of Business (NYU), provides this information in downloadable excel spreadsheets on the "updated data" tab. He also has a broad range of other older data sets available on this page such as Jensen’s alpha and R-squared values by industry for the years 2002-2008 and total beta by industry sector (1998-2008). And on the "spreadsheets" tab he has a wealth of valuation spreadsheets.

At Ernie Chan’s blog there is "incontrovertible" evidence that averaging-in should not work as well as a link to an Excel version of the ADF (Augmented Dickey Fuller—if you have to ask, you probably don’t need it) test for cointegration. In both cases there are valuable comments.

From SSRN comes a paper “A Comparison of Quantitative and Qualitative Hedge Funds,” that claims that quantitative hedge funds outperform.

The EDHEC-Risk Institute features a downloadable paper
“Risk Control through Dynamic Core-Satellite Portfolios of ETFs: Applications to Absolute Return Funds and Tactical Asset Allocation.”

And if you need a break from numbers, here’s a brilliant musical admissions video (and of course I’m not biased or anything), “That’s Why I Chose Yale.” For three years I was dean of Morse College, one of the twelve residential colleges, so this video made me quite nostalgic.

See you Monday morning.

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