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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. |
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Scholarly Observations and Reviews
A Visit to Yale
(Feb. 20, 2004):
I gave a little talk and
had dinner with Shubik, Goetzmann and Shiller. Learned that
Shubik, who taught a value class with Whitman and wrote a
value book with him, specializes in buying senior securities
of bankrupt companies. He told me it's a niche that can make
money, given a database and patient study, as it is avoided by
others because of its bad name and difficulty.
Goetzmann, who teaches a class on hedge funds, has concluded that the funds' abnormal performance persists relative to managers, and that hedge fund fees are enormous especially for funds of funds. I talked to him about some layers of friction in these that hastened they-all's agreement with me that my Sharpe ratio of -100 as the final destination for funds of funds was in the ball park.
The sparks were close to ignition as Shiller sat between the Collab (Laurel) and myself. He demurred that he was not always bearish and that indeed he was long some stocks right now. He asked me if I find any short sellers admirable and I rephrased the question to, "Are any short sellers worthy of an investment?" He has invented a new real estate derivative and short-sales security that he hopes will be traded soon on local stock markets.
Yale is a hotbed of interesting research. I came across the paper, "On the Joint Pricing of Stocks and Bonds: Theory and Evidence" by Harry Mamaysky; "Financial Market Runs" and "Capital Structure and Stock Returns" by Ivo Welch; and three by Ray Fair: "Shock Effects on Stocks, Bonds and Exchange Rates," "Risk Aversion and Stock Prices" and "Events that Shook the Market." And, of course, the inevitable bubble paper of Shiller. All were available in preprints and there were dozens more that at first sight I didn't find immediately relevant.
This is just a sample of academic research of relevance to SpecInvestors at just one school at Yale. Same is true at Harvard. Multiply this by the hundreds of schools and it's all over the world. Add the quants at big brokerage and bank outfits, and the PhDs at shops like my "uncle" Roy's, and you got a tremendous knowledge base, growing and flexible and evolving to practical wisdom. Makes one want to give up the candle or at least try to develop a very specialized niche or creative insight. Very inspiring and motivating.
My main inspiration, however, was to arrange for Tyler to sit among the 15 women of the senior rhythm women's singing group at Yale that serenaded us at Mory's.
(2/22/4)
Letter to Vic from Dr. Shiller
It was nice to see you again and to meet Laurel Kenner.
I thought it interesting that you are reading Darwin. Darwin,
as a
scientist, seems to epitomize a scientific method that relies
on breadth of
observation---getting all the facts that could possibly
pertain and
proceeding inductively---rather than building some logical
superstructure
and developing its consequences. Maybe that sort of philosophy
helps people
in your field too.
Bob
Dr.
Johnson's Dinner with Mr. Wilkes:
``Two men more different
could perhaps not be selected out of all mankind. They had
even attacked one another with some asperity in their
writings; yet I lived in habits of friendship with both.''
Liz Calloway sings Spec Songs by Vic and Laurel at Yale