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Saturday, November 24, 2007

I Just Declared Email Bankruptcy - Woo Hoo!

I looked at my email (my "real" email, not my Financial Rounds one) last week and decided it had gotten out of control - over 1000 old messages. I started deleting the old ones, but thought I'd never get it done - thee were just too many.

Then, I solved the problem by accident - I inadvertently ended up declaring "email bankruptcy".

I signed up for Hotmail's premium service a few years ago, since at the time it was the only one offering the capability of emailing large file attachments. The bill for renewal came due a while ago, and I forgot to renew it. So, Hotmail bumped me down to the "standard" version. In the process, they deleted all but the 200 or so most recent messages. Of course, this includes messages I received way back in 2006, so there probably wasn't anything I needed in the older ones anyway.

I feel much better now.

More on The Accrual Anomaly

Here's another paper on "tradable" patterns in stock returns. The CXO Advisory Group recently put up a summary of the study titled "Repairing the Accruals Anomaly" by Hafzalla, Lundholm and Van Winkle. The paper examines the pattern that stock market performance of firms with low accruals (i.e. the difference between the firm's earnings and cash flows) is significantly greater than the performance of their higher accrual counterparts. It does a pretty good job of examining Sloan's "Accrual Anomaly" with a few tweaks:
  • It corrects for the extent to which the firm is financially healthy, using Piotrowski's "financial health" indicator.
  • It measures accruals in relation to earnings rather than to assets
Their findings are that the accrual anomaly does a better job of sorting out investment performance for financially healthy firms. Their results are pretty strong (note- the following is CXO's summary):
  • A hedge strategy that is long (short) firms of high (low) financial health (ignoring accruals) generates an average size-adjusted annual return of 9.36% across the entire sample.
  • After excluding firms with the lowest financial health scores, a hedge strategy that is long (short) the 10% of firms with the lowest (highest) traditional accruals generates an average size-adjusted annual return of 13.64%, with 7.98% coming from the long side
  • Using the total sample, a hedge strategy that is long (short) low-accrual, high financial health (high-accrual, low financial health) firms produces an average size-adjusted annual return of 22.93%, with a 14.92% from the long side. (See the first chart below.)
Here's a pretty good grapic of size adjusted abnormal returns on the various portfolios. Note that financially healthy firms with low accruals earn a size-adjusted abnormal return of about 15% annually, while those in the "financially unhealthy/high accruals" group have negative size adjusted returns of about almost 10% a year.





Read the paper here.

It looks like my students in Unknown University's Student Managed Fund will have another indicator to look at next semester.

Thursday, November 22, 2007

Happy Thanksgiving

We're off to the Unknown Wife's sister-in-law's house for the family get together - it's great finally being close enough to spend the holidays with family without having to drive 300 miles.

I should emerge from my turkey and football-induced stupor tomorrow. Until then, here's wishing a Happy Thanksgiving to you and yours.

Sunday, November 18, 2007

Econometric Haiku

From econometrician Keisuke Hirano.
T-stat looks too good.
Use robust standard errors--
significance gone.
HT: Marginal Revolution

This hit home, since I just had to figure out how to do clustered standard errors for a paper. Lukily, my significance didn't go away.

Wednesday, November 14, 2007

Busy, Busy, Busy

Not much time for bloggery this week - here's what's on my plate:
  1. I have a conference (the Southern Finance Association annual meeting) to prepare for. I leave tomorrow and still haven't finished my presentation. Luckily, I've done enough of these that I can put one together in a couple of hours.
  2. I've giving an exam (well, actually, my grad student is proctoring it) on Friday while I'm away. It's written, but I want to give it one last checking over before I hand it in just to make sure. Even so, I'm sure there'll be some errors (there always seems to be).
  3. My students have a problem set due today, and I have to write up the solutions (I give one before every exam to give them some practice and "enforced study"). Since I hand it back today, I need to have it finished by 11.
  4. There's a revise and resubmit that I have to get back to my coauthors ASAP (I have to do a couple of empirical things). I'll see one of them at the conference, so it's pretty urgent to get it done (or at least, it'll be embarrassing if I don't).
  5. I have a revise and resubmit that must be finished by 12/10 when my coauthor leaves to visit China for a month.
So as usual, it's a big ball-o-crazy. Still, it beats a regular job by a country mile.

Wednesday, November 07, 2007

Faculty Meeting Bingo

I'm on my college's undergraduate curriculum and assessment committee, and I'm sure it's because of some egregious sins I committed in a past life. We had a meeting the other day, and after an hour and fifteen minutes, it was still going strong with no end in sight. So, I left to go pick up my kids. After looking at the agenda, I thought we could get 'er done in about 30 minutes, but that means they would have had to try something that was clearly out of their comfort zone - like SHUTTING UP AND FOCUSING ON THE MATTER AT HAND!

It seems like you have the same characters and scenes in far too many faculty meetings (the actual people and issues involved change from meeting to meeting, but the play remains the same).

A while back, I came across the game called "Buzzword Bingo" (as pointed out by some of my commenters, there's an Educational Buzzwords version and a Law School version known as "Turkey Bingo"). For those who aren't familiar with it, in the game of BB you get a Bingo card filled with common business buzzwords. You take it to a meeting, and when you hear an overused buzzword, you mark it off on the card. That way, what had been an irritating, overused phrase becomes something you get excited hearing.

I'm convinced there's a niche market for an academic version of BuzzWord Bingo that can be played at faculty meetings (particularly in committee meetings). The main difference between Faculty Bingo and Buzzword Bing is that you can have boxes not just for buzzwords but for cliched behaviors. I've listed a few options for the squares of the Bingo card, but I'll add others as readers send them in:
  1. A senior faculty member brings up the same sore point that he's been harping on for the last 10 years. It has nothing to do with the issue at hand.
  2. A spirited discussion breaks out about changing ONE word on a document that (at most) two people will ever read. The discussion goes around and around for an hour or more.
  3. The word "Rubric" (our new word du jour) is used. And I always thought Rubric was the character Steve Martin Played in Dirty Rotten Scoundrels. Also (from the Cynical Professor: the terms cognate disciplines, course embedded assessment, and subvention, from King Banaian: the terms student learning outcomes, program assessment matrix, degree map, and strategic cooperation (which I think is the antonym of sincere cooperation), and from Frank: the term "co-curricular " (often used in the same breath as "extra-curricular")
  4. Someone (usually the guy in #1) complains about how things have changed (i.e. students are so much worse, they used to have a 5/5 load, it was much harder to publish in top journals, etc...) since they they were starting out.
  5. Don't forget the ever-exciting "Let me give a little institutional background" guy. He is worth 20 dead minutes in every gathering. (also from Cynical Prof)
  6. Someone frets about how any disagreement will reflect badly upon the program / department / institution's 'mission. Bonus points for being in a very secular setting or campus while muttering about the same. (HT: Ancarett)
  7. The tired old hand who tells everyone that whatever's decided doesn't matter because nobody has any real power here, anyway. (HT: Ancarett)
  8. #s 11-16 are compliments of Mike Munger: When I was at [name of previous job university], we always....[what they did].
  9. I hear that in [name of department], they just got [n new positions, a budget increase, new space]. Why don't you get that for US?
  10. The "snatch defeat from the jaws of victory" guy. Committee chair reads proposal, clear that everyone agrees, if you voted now. But the Snatcher prepared a talk, and by golly he's going to give it. Starts by talking about how 25 years ago he proposed something like this (not MUCH like it, though), and was turned down. So, it's really time that anyone opposed then explains how they could have been so stupid. 7 or 8 people raise hands to respond. Vote is finally taken, an hour later, and it's 15-9. The 9 people, who were ready to support the proposal, end up sabotaging it because they are so angry at the Snatcher. After meeting, Snatcher congratulates self on "victory", since vote was positive.
  11. The by-laws guy. Either we are doing something not in the by-laws, or the by-laws need to be revised to reflect what we are doing.
  12. They guy who starts out with, "I'm going to support this, but..." and then runs down the proposal, or candidate, for ten minutes. Finishes with, "But I'm going to go along, and vote yes."
  13. The Dean's mouthpiece. "I don't think the Dean is going to like that. We need to think strategically!" This same person is perhaps the least strategic, and most politically inept, person in department.
  14. #s 17 & 18 are from Mike Barry: At our faculty meetings, there's always at least one blatant suckup. The dean will start the meeting off and the suckup will loudly thank the dean for all of his support (in something that made the suckup's job easier).
  15. We also have a social issues person. We could be talking about something like upgrade cycles for our computers and she'll somehow try to weave in a socially responsible angle. There are always a few faculty who, as soon as their hands go up, the rest of us groan. Of course, we have students like that!
  16. David Tufte contributed #s 19-23: The guy who insists that everything has an ethical angle that is in conflict with how we should present ourselves to stakeholders.
  17. The person who is secretary or otherwise in charge of documents who doesn't seem to be able to use Word, PDF or e-mail properly (usually you see this one on campus-wide committees
  18. The person who makes copies for the committee, but never makes enough - as if they had to type them all by hand.
  19. The former administrator who views the committee as a forum to perpetuate the views and continue the actions that got his butt booted out of the previous position.
  20. The student representative who never shows up for meetings.
  21. #s 24-25 are compliments of David Hammes: There's the "Oh, so what you're saying " or "Let me see if I understand you" guy who restates everyone's previous comments (oft times incorrectly), thereby dragging the meeting out even longer.
  22. The guy who "debates" himself out loud, changing his position with every comment he makes (kind of like Colin "Bomber" Harris)
  23. Someone says the word "Stakeholder". NOTE: this was found on the comments on Newmark's Door: "Personally, every time I now hear the word 'stakeholder' the first thought that comes to my mind is putting a stake thru the heart of the person who said it."
  24. Free-Wheelin' Guy: After anyone has presented their scheduled, carefully thought-out proposal, Free-Wheelin' Guy takes the floor for 20 minutes coming up with off-the-cuff suggestions for "Someone" to do. No-one ever does what he suggests (including him) but every meeting he still does his thing.
Any other suggestions? Put them in the comments, and I'll add them in as they come (with appropriate citation in the style manual of your choice). And pass this along to your friends. Once I get to about 40 or 50, I'll make up a handy sheet with boxes to check so you can keep track.

And thanks for playing...

Da Merc!

Here's a piece from Wallstrip on the Chicago Mercantile Exchange. It's a pretty good riff on the old SNL skit "Da Bears".

HT: Barry Ritholtz

Luckily, My Grad Assistant Hasn't Seen This

Monday, November 05, 2007