professional

editorial

Academic Financial Economics Journal

Abandoned. 5-Page Summaries

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

FRED
CSV
Gateway

fredcsv.html 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.

Tail Risk
1983-2012

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.

Other

Leverage Placebo Program, NYSE ~ 1900

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

programs

LaTeX sample styles for the Review of Financial Studies

LaTeX to HTML automatic conversion.

R benchmarks

ucla

ucla anderson finance →

ucla anderson →

ucla →

UCLA is the world's youngest top-20 university. It is the only one founded in the 20th century---May 23, 1919 to be exact. We are now coming up on our first centennial →.

In many rankings, UCLA is now the best public university in the United States →. I am especially proud that we provide opportunities to students from lower socioeconomic strata. Whereas most Ivy Leagues cater to legacy (Harvard now admits 40% of legacy applicants; non-Asian minorities and athletes are similarly favored [many as wealthy as the legacy applicants, the rest often badly treated by the NCAA], while Asians are greatly discriminated against), UCLA caters relatively more to those who need and deserve fairer opportunities. UCLA is leading all major U.S. universities in students that receive Pell grants.

Don't miss my favorite site: Historical UCLA images → and here. In 1922, it looked like this from Pico Boulevard (and here. The P.E. track would become Santa Monica Blvd. The line of trees would become Beverly Glen. I also have the Anderson UCLA faculty facebook from 1991.

The 1960 California Master Plan for Higher Education set out the roles for its three major branches. "The University of California is designated the State's primary academic research institution and is to provide undergraduate, graduate and professional education. UC is to select students from among the top one-eighth (12.5\%) of the high school graduating class."

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. I wish we could help. 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.