How is anyone going to be able to replicate DMR (the paper OP mentioned)?
It's impossible to get legal access to the Lehman database.
And the ICE database is not in WRDS and is very expensive to access.
So future bond research is going to depend on having a lot of money to get the ICE database and the willingness to use a database (Lehman) that the researcher won't have legal access to?
Doesn't sound like a very wonderful future to me.
How is anyone going to be able to replicate DMR (the paper OP mentioned)?
It's impossible to get legal access to the Lehman database.
And the ICE database is not in WRDS and is very expensive to access.
So future bond research is going to depend on having a lot of money to get the ICE database and the willingness to use a database (Lehman) that the researcher won't have legal access to?
Doesn't sound like a very wonderful future to me.
DMR's main results are based on enhanced TRACE, which almost anyone has access to.
ICE isjust something nice to have, but not necessary.
Why is cross-sectional data still even relevant in Finance? Cross-sectional data is a snapshot of a single point in time and does not provide any information about how the data has changed over time. This makes it difficult to identify potential trends or patterns that could be used to predict future performance. On the other hand, first-difference time series data tracks changes in the data over time, making it more useful for predicting future performance.
Ever heard of FM?
Why is cross-sectional data still even relevant in Finance? Cross-sectional data is a snapshot of a single point in time and does not provide any information about how the data has changed over time. This makes it difficult to identify potential trends or patterns that could be used to predict future performance. On the other hand, first-difference time series data tracks changes in the data over time, making it more useful for predicting future performance.
Ever heard of FM?
Why is cross-sectional data still even relevant in Finance? Cross-sectional data is a snapshot of a single point in time and does not provide any information about how the data has changed over time. This makes it difficult to identify potential trends or patterns that could be used to predict future performance. On the other hand, first-difference time series data tracks changes in the data over time, making it more useful for predicting future performance.
I'm in middle school, please explain.
Fama Macbeth. Wow, I am an LRM ECF reg monkey and even I know that.
Ever heard of FM?Why is cross-sectional data still even relevant in Finance? Cross-sectional data is a snapshot of a single point in time and does not provide any information about how the data has changed over time. This makes it difficult to identify potential trends or patterns that could be used to predict future performance. On the other hand, first-difference time series data tracks changes in the data over time, making it more useful for predicting future performance.
I'm in middle school, please explain.
Why is cross-sectional data still even relevant in Finance? Cross-sectional data is a snapshot of a single point in time and does not provide any information about how the data has changed over time. This makes it difficult to identify potential trends or patterns that could be used to predict future performance. On the other hand, first-difference time series data tracks changes in the data over time, making it more useful for predicting future performance.
You know that the y variable is still tomorrow's realized return? You use cross-sectional data (i,t) to predict one-period ahead returns (i,t+1)
The authors are at Georgetown, an LRM which doesn't even have a PhD program.
Very. P-hackers should not be allowed on editorial boards.just relaized Bali JB are also AE at JFE MS JFQA….I don’t think JF has an appetite for OP’s paper. So RFS is the only option…How fxxked up is this world
Hrms gonna hrm
The authors are at Georgetown, an LRM which doesn't even have a PhD program.
Very. P-hackers should not be allowed on editorial boards.just relaized Bali JB are also AE at JFE MS JFQA….I don’t think JF has an appetite for OP’s paper. So RFS is the only option…How fxxked up is this world
Hrms gonna hrm
HRM in terms of power
Wow! The BBW factors have lead error! When Novy Marx called Lu such an error, JF pulled out the publication. JFE needs to retract this BBW"JFE" and "retract" don't belong in the same sentence (unless the sentence is that JFE does not retract).
That’s 1000% true!
Surprised? These are not smart researchers. Productive, sure.By the way, Bali, Bai, and Wen used different "Term" factors in different papers. Those P-mother-hackers
Theses are productive polluters
I always had the idea that Bali was not a solid researcher (to put it nicely)…most of his research is g*rb*ge
Seems like he stepped on your toes at GT, Prajeet? :)
Surprised? These are not smart researchers. Productive, sure.By the way, Bali, Bai, and Wen used different "Term" factors in different papers. Those P-mother-hackers
Theses are productive polluters
I always had the idea that Bali was not a solid researcher (to put it nicely)…most of his research is g*rb*ge
Surprised? These are not smart researchers. Productive, sure.By the way, Bali, Bai, and Wen used different "Term" factors in different papers. Those P-mother-hackers
Theses are productive polluters
I always had the idea that Bali was not a solid researcher (to put it nicely)…most of his research is g*rb*ge
To be fair, I think Bali’s problem is the freeride. Bai and Wen probably were the main problem of this paper.