editorial

Critical Finance Review →

Academic Financial Economics Journal

FAMe Jagazine →

Abandoned. 5-Page Summaries

opinions

including my personal views on meta-finance, professional ethics, economics, finance, etc.


FRED
CSV
Gateway

http://fred-csv.info is a gateway URL to obtain FRED (Federal Reserve Economic Data) in a clean .csv file format, with one nice header line and dates converted to yyyymmdd format.


data

Goyal-Welch

Annual Financial Market Data, 1802-2016, incl some plots and R code.
relative pricing of deep out-of-the-money index puts, includes plots.
From The (Time-Varying) Importance of Disaster Risk. Financial Analysts Journal 72-5, Sep/Oct 2016. doi: 10.2469/faj.v72.n5.3.
Fama-French Factors
From 2002 to 2016 (over the last 15 years), the compound rate of return on Ken French's posted factors was:
Market - Rf 139% = 6%/year at 3.9% sd
HML 25% = 1.5%/year at 2.2% sd (note: 2016=23%!)
SMB 52% = 2.7%/year as 3.4% sd


 

UCLA is the world's youngest top-20 university. It was founded only in the 20th century.
Don't miss my favorite site: Historical UCLA images →. In 1922, it looked like this from Pico Boulevard The P.E. track will become Santa Monica Blvd. The line of trees will become Beverly Glen. I also have the Anderson UCLA faculty facebook from 1991.

Interested to become a visiting scholar (or PhD student) at UCLA Anderson? Apologies, but we get more than 100 inquiries a year from researchers. I understand this very legitimate interest. Unfortunately, UCLA Anderson finance has virtually no resources [time, office space, administrative arrangements] to accomodate visitors. Unless you already work with someone here at UCLA, it is very unlikely that UCLA will be able to accomodate you.

Interested to have me join as a coauthor on a project? Apologies, but I really work only locally on papers with close friends. I don't accept invitations to join other teams, no matter how well meant such invitations are. The problem is that I am just too busy with all the many projects I already have committed to. Nowadays, I only have negative time left.