tag:blogger.com,1999:blog-17232051.post6227014054752698169..comments2024-03-28T03:16:14.104-04:00Comments on Noahpinion: Eugene Fama explained. Kind of. Part 2: Asset pricingNoah Smithhttp://www.blogger.com/profile/09093917601641588575noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-17232051.post-49769469766497288512013-10-21T14:47:25.182-04:002013-10-21T14:47:25.182-04:00You might like this video: http://www.youtube.com/...You might like this video: http://www.youtube.com/watch?v=OugUZzUL0WYAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-10092003995905814482013-10-21T12:31:13.450-04:002013-10-21T12:31:13.450-04:00I checked out some videos linked from Dimensional&...I checked out some videos linked from Dimensional's "Fama-French Forum", where Fama discusses these extra "risk factors". The one about small vs large companies makes sense, a small company can go under more easily. But I would have naively expected "value" stocks to be less risky than "growth" stocks. Fama explains that the characteristics of companies given low values in the stock market tend to involve some kind of distress or restructuring, but then it should be the correlated characteristics you focus on. What made it more plausible was when he presented a graph of average return vs standard deviation of returns for different classes of stocks (ranked by book/market value). The class with the highest book/market values also had the highest returns, but the standard deviation within that class was much, much higher than the stocks with a lower book/market ratio. So there could be more uncertainty of returns for individual stocks.Wonks Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-27951037511582273002013-10-20T08:26:48.898-04:002013-10-20T08:26:48.898-04:00When I first accessed the post, the java math rend...When I first accessed the post, the java math rendering script failed, littering the post with [Math Processing Error] wherever an equation should be. I was wondering if the author was being delightfully sarcastic about how economics really works, but upon reload, I see that was not the case. It would have been wonderfully meta.gilroy0https://www.blogger.com/profile/13586592076460054599noreply@blogger.com