Wednesday, August 03, 2011

We've moved

For now, I'm trying to keep my blog at Typepad (http://financephd.typepad.com)

Monday, August 01, 2011

Corporate Misconduct and Reputation

I have had the luck of being assigned to Jonathan Karpoff as a Research Assistant for the summer. Not only he is really great to work with, but he also studies a subject that will hopefully be the theme of my dissertation: corporate misconduct and reputation.

I have been working on this for about a month, and read 56 papers about corporate misconduct and reputation. The vast majority are about financial misrepresentation, but some are about more "movie-like" types of misconduct. Fifty-six papers is a hefty number for a month, and by now I surely know a little bit about corporate misconduct, maybe "just enough to be dangerous": there's a lot that I don't know, but sometimes I feel confident enough to give suggestions to people that clearly know a great deal more than I do.

Case in point, a paper by Langus, Motta and Aguzzoni called "The Effect of EU Antitrust Investigations and Fines on Firm's Valuations". It is a great paper and I have almost presumed to send the authors an email suggesting that they look into some similar literature and also suggesting that they address a couple additional points.

The paper describes "dawn raids" performed by the EU antitrust authority to try to find evidence that companies are participating in cartels or illegal monopolies and concludes that the companies' stock prices are punished much more than the fines, mostly because the (economically profitable) activity is now likely to end. It doesn't mention similar literature about financial misconduct that comes to the same conclusion, or the economic theory of reputation of Klein-Laffler and Shapiro.

My presumption would probably cost me my chances of living in Barcelona or Milan when I finish the Ph.D., and I can't risk something like that.

Wednesday, April 20, 2011

Clear Excel styles and solve the "Too Many Different Cell Formats" error

It may have happened to you.

You are working with Excel for hours and then, maybe after a big paste, maybe after inserting a row, you get the error "Too many different cell formats". Sometimes Excel crashes, sometimes you just can't format the spreadsheet the way you want.

Styles

There's a simple tool that clears the unused styles from your file, at XL Geek. I was working on a 5MB file that was crashing rather frequently. I know enough to clean a lot of common things and ended up with 500Kb and a bunch of corrupted styles (see picture above - the 386 grabber is a common one). I used the tool and got to 17Kb. It cleaned more than 6000 unused styles.

It's simple to use and it uses .NET 4.0. If you use Excel frequently and occasionally see the "386 grabber" style, give it a try.

Monday, April 18, 2011

Supply and Demand

The supply and demand slides that I use in the quiz session at UW Foster School of Business. This is the Spring 2011 version. There are two good things about them:



  • They have a table for simultaneous shifts in supply and demand that can be handy for undergrads that are short on time

  • They have some exercises with answers


Download B ECON 300 - Quiz Session - April 12-15



Thursday, April 07, 2011

Do you want to work at Google? Your GPA is not that important.

I keep telling my students that the GPA doesn't matter. Some students get super stressed when they get a 3.4 in a test or a 3.7 in homework, and many cheat - and sometimes covertly admit they have cheated - just to improve their GPA.



So I'll quote the CNN article "So you want to work at Google":



You'll be heartened to hear that a 3.0 GPA doesn't necessarily wreck your prospects at Google. McDowell acknowledges that the 3.7-or-higher-GPA myth is widespread, but she discounts it. "When I joined Google, my team of eight people included three who didn't have college degrees at all," recalls McDowell. "And our next college hire had a GPA that wasn't so hot."



She adds: "Academia is merely one way to distinguish yourself, and there are plenty of others. So if your GPA, or your school, doesn't stand out, look for additional avenues. Besides, you'll need to excel in multiple areas to get your resume selected."



The last piece is very important. Academia is only one way to distinguish yourself. Having a 3.0 GPA and winning the entepreneurial competition could be much better than getting a 4.0 GPA by being the teachers pet and having no other passion than getting a 4.0 GPA. On its own, a 4.0 GPA means nothing.






Saturday, April 02, 2011

Snooki Versus Toni Morrison, Round One -- Vulture

Snooki Versus Toni Morrison, Round One -- Vulture

Who gets paid more to speak at an university? Snooki from Jersey Shore or a Nobel-Prize winning novelist?



It's fun to think that the assumption of a lot of microeconomics is that people are rational.



Tuesday, March 29, 2011

Beautiful People Generally Happier, UT Researchers Find

They say money can't buy happiness — but can good looks do the job?


via www.texasexes.org



Although this is interesting, it's sure to annoy econometricians.



IDC Forecasts Windows SmartPhone to be number #2 by 2015

IDC - Press Release - prUS22762811

I thought I should store this so I can make fun of IDC four years from now.



Saturday, March 26, 2011

The subfiles LaTeX package

If your lifetime plan includes writing an article or a book, you may need to learn how write a rather large document in LaTeX. Or maybe you are co-writing a document (Andrew and I did a big homework once and synchronizing files can be tricky).


One important thing is to use a file synchronizer like Windows Live Sync or Dropbox, but the other is to teach LaTeX to use multiple files.


The subfiles package can help with that. The documentation for subfiles is here.


It allows you to write a master file and several subfiles that can be compiled independently, so you can work on and compile each subfile (for example, a chapter or a section) and see the results, and compile the master file to see the full book. A simple and useful example can be found in Wikibooks.



Wednesday, March 23, 2011

Libya rebels name US-based academic as finance chief | News by Country | Reuters

The relations between First Quantum and the Democratic Republic of Congo have gone from bad to worse in recent months, after the country expropriated the miner’s $765 million Kolwezi copper tailings project in September.   Blog 


via af.reuters.com



I was going to be his TA this quarter. Well, if he wants me, I'll still be!



Thursday, March 17, 2011

U.S. Reacts to Nuclear Danger: Panic for Potassium Iodide - TIME

The good news in Japan was that the winds had been pushing the radiated plumes from the stricken Fukushima Daiichi nuclear power plant out into the Pacific Ocean, away from populated areas. The winds would likely prevent more harm from happening to the earthquake-and-tsunami-battered region.


via www.time.com



The law of demand in action: a bottle of iodide pill went from $6 to $140 in the West Coast.



Wednesday, March 16, 2011

Tutorial: Portfolio Optimization Using R

I wrote a tutorial on how to implement some portfolio optimizers in R for a class. The tutorial implements three types of factor models:



  • A Fama-French three factor model

  • An industry cross-sectional model

  • A principal component analysis model


This is for instructional purposes only: it's not a software for you to plug in your portfolio and start investing. However, if you make millions doing so, I wouldn't mind a 10% cut.


Two things that are not in the tutorial but that are important if you really want to implement something for real use are:



  • Selecting the data that will be used for optimization (I use the Dow Jones Industrial Average from 2006 to 2010)

  • Optimizing Sharpe ratios by combining the portfolio with a risk-free asset (such as T-bills)


Download Factor Models



Monday, March 14, 2011

The Durbin Amendment

I recently had to prepare a paper about the impacts of the Dodd-Frank legislation for a class. Rather randomly, I chose the Durbin Amendment, a provision that increases regulation on the debit card market. What I learned about the debit and credit card market was fascinating.


The amendment passed into law in July 2010 and the Fed is now discussing how it will be regulated, and this is where the relevant points appear. For example, the amendment requires a price cap on the fees that merchants have to pay, but it doesn't say how much. The average fee in 2010 was about 44 cents, and the Fed set the cap at 12 cents, cutting heavily into the profits of (I can safely say)  your bank. As a consequence, you may pay more for checking, but is this really bad?


Download Durbin Amendment



Thursday, March 10, 2011

Managerial economics (B ECON 300) class notes

It is very possible that many of my Managerial Economics students will scour the web for class notes (instead of using the course website). And maybe, just maybe, after spending some time on Wikipedia's article on Managerial Economics and in some random essay mills, they may find the lecture notes here.


It's very possible that looking at the course website would have been faster, but the course website is not integrated with Facebook and not accessible through Google, so I'm just making it easy on them.


Download Managerial Economics Lecture Notes



Wednesday, March 09, 2011

Tuesday, March 08, 2011

xkcd: Advertising



via xkcd.com



Nothing more annoying for a mathematician (of sorts) than the "up to 15% or more"...



The joy of copulas: An R tutorial

I explore copulas by creating a model with four funds that track market indexes
for stocks, bonds, dollar and commodities. I then use the model to generate simulated values
and test the performance of a model portfolio using the real returns and the simulated returns
to calculate the value at risk (VaR) and the expected shortfall (ES).


Download Copulas