Daily Speculations
The Web Site of Victor Niederhoffer and Laurel Kenner

Dedicated to value creation and ballyhoo deflation.

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Scholarly Reviews from the Speculative Perspective

03/29/06Alex Castaldo reviews Option Pricing and Spikes in Volatility, a paper by Paola Zerilli
02/20/06 P. Rossi, ed: "Modeling Stock Market Volatility" (Academic Press, 1996); and S-H. Poon: A Practical Guide to Forecasting Financial Market Volatility (Wiley, 2005), reviewed by Alex Castaldo
12/29/05 G. Schneider and V. Troeger: ":War and the World Economy: Stock Market Reactions to International Conflicts," reviewed by V. Niederhoffer
11/07/05 "Reexamining the profitability of technical analysis with data snooping checks," by Alex Castaldo
10/30/05 "The Model-Free Implied Volatility and Its Information Content," by Alex Castaldo
05/19/05  "Do Futures Markets Overreact?" Changyun Wang, Renmin University of China
04/25/05 "Fischer Black and the Revolutionary Idea of Finance," by Perry Mehrling, to be published by Wiley in May 2005.
04/11/05 "The Stock Market's Reaction to Unemployment News" by J.H. Boyd, J. Hu and R. Jagannathan, JoF, April 2005, by Alex Castaldo
02/16/05 The Impact of Financial Markets on Firm Behavior and Industry Evolution, by Alex Castaldo
02/03/05 Facts and Fantasies About Commodity Futures, by Charles Pennington
Four Scholarly Reviews by Dr. Castaldo
1. "Variance Risk Premia" by Peter Carr, Liuren Wu; 
2. Cross-Industry Momentum by Lior Menzly, Oguzhan Ozbas;
3. Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance, by Jonathan Lewellen, S.P. Kothari, Jerold B. Warner. 
4. The Cross-Section of Volatility and Expected Returns, by Andrew Ang, Robert Hodrick, Yuhang Xing, Xiaoyan Zhang

Coincidences, by Saurabh Singal (11/15/04)

Recent Research on Short Selling, by Victor Niederhoffer, PhD, Alex Castaldo, PhD and others

Article by Ken Fisher: "When Earnings Are Cheap," reviewed by Tom Downing of Manchester Trading

The Theoretical Link of Volatility and Correlation. Alex Castaldo, PhD, of Manchester Trading.

Price Down, Volatility Up, Why? Alex Castaldo, PhD, of Manchester Trading, reviews the literature.

The Calendar Structure of Risk and Expected Returns on Stocks and Bonds (Journal of Financial Economics, October 2003). Victor Niederhoffer finds multiple comparison upon multiple comparison, but is struck by how well the predictive value of the yield curve has held up for the past few decades. Click here for the review.

"Bleed or Blowup? Why Do We Prefer Asymmetric Payoffs? by Nassim Nicholas Taleb. (Review by Alex Castaldo, 4/14/04: After 11 pages of general arguments why a negative skewness preference might exist in theory, he comes to the punch line "experiments should be done.")

"Volatile Firms, Stable Economy," by Hui Guo.  Click hear for Review by Tom Downing, 3/2/04.

Accounting accruals vs. actual earnings and stock returns Review by Art Cooper, 2/21/04)

Long-Term Returns (Victor Niederhoffer and Alex Castaldo, April 2004)

Accounting accruals vs. actual earnings and stock returns (Art Cooper, 2/21/4 8:01 AM)

"Financial Variables and the Predictability of Stock and Bond Returns: An Out-of-Sample Analysis" Review by Alex Castaldo