Daily Speculations

The Web Site of Victor Niederhoffer & Laurel Kenner

Dedicated to the scientific method, free markets, deflating ballyhoo, creating value, and laughter;  a forum for us to use our meager abilities to make the world of specinvestments a better place.

 

Home

Write to us at: (address is not clickable)

Review:
"The Calendar Structure of Risk and Expected Returns on Stocks and Bonds"(Journal of Financial Economics, October 2003)

The paper's main conclusions are:

Regrettably, Ogden's study suffers from multiple comparison on top of multiple comparison and is not worth the paper written on except as an example of how to data mine, and as a possible lead to a monthly study of the yield curve as a predictor. Naturally the regression formula presented in the paper is worse than random in practice when used past the original article of 1998. -- Victor Niederhoffer

 

Go to more scholarly reviews