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Robot James ‏ @therobotjames 17 Mar 2021

Replying to @therobotjames @breakingthemark and

Here is the data summarised by ticker. https://filebin.net/ctycg7t0rgpozadj/byticker.csv?t=ek9bfpdq … Note the observations column... Stocks go in and out of the index so some stocks have lots of observations and others much fewer.

1 reply 0 retweets 1 like

Matt Hollerbach‏ @breakingthemark 17 Mar 2021

Replying to @therobotjames @macrocephalopod and

Thanks. I've done two things. I calculated the OL for each stock and then averaged them, weighted by the # of observations. Its 1.16 And I calculated the weighted avg of return and st. dev. (my st. dev was a bit lower than yours, return was same). and then the OL. Its 0.85pic.twitter.com/xFIGI5Ol6M

1 reply 0 retweets 0 likes

Matt Hollerbach‏ @breakingthemark 17 Mar 2021

Replying to @breakingthemark @therobotjames and

So somewhat near 1. I'm not sure if 20 years is enough to get a full convergence. I used 70 years of data in my post. I think its a coincidence that the two meathods nearly equally flank 1 on each side.

1 reply 0 retweets 0 likes

Adam Goldstein‏ @goldstein_aa 17 Mar 2021

Replying to @breakingthemark @therobotjames and

Well, using your method of corroborating a theory CAPM has been corroborated 100% perfectly. Weighted average beta for all stocks=1, weighted average excess return = market excess return. But that's not how people judge CAPM, and it's not how people will judge your theory.

3 replies 0 retweets 1 like

Matt Hollerbach‏ @breakingthemark 17 Mar 2021

Replying to @goldstein_aa @therobotjames and

"Weighted average beta for all stocks=1, weighted average excess return = market excess return" Are either of these true? I sent you a screen last week which made is seem like the first certainly wasn't true.

2 replies 0 retweets 0 likes

Matt Hollerbach‏ @breakingthemark 17 Mar 2021

Replying to @breakingthemark @goldstein_aa and

Matt Hollerbach Retweeted Matt Hollerbach

https://twitter.com/breakingthemark/status/1367677994500825090?s=20 …

Matt Hollerbach added,

Matt Hollerbach @breakingthemark

Replying to @goldstein_aa @IlariLehti and 6 others

Are most stock beta's above 1? This table from the Jegadeesh and Titman 93 momentum study makes me think they are. pic.twitter.com/04nprPOzHX

1 reply 0 retweets 0 likes

edwin‏ @edwin_teejay 17 Mar 2021

Replying to @breakingthemark @goldstein_aa and

”The beta of most stocks is above one” and “the weighted average of the beta of all the stocks is one” are not contradictory statements.

1 reply 0 retweets 0 likes

Matt Hollerbach‏ @breakingthemark 17 Mar 2021

Replying to @edwin_teejay @goldstein_aa and

Agreed. My point here is that there is a relationship between the average return of all stocks (weighted equally) to their variance. You don't need any comparison through beta to the market portfolio.

2 replies 0 retweets 0 likes

Dhronas Apple‏ @DhronasApple 17 Mar 2021

Replying to @breakingthemark @edwin_teejay and

Lord, are we still calculating Betas - I thought Buffett put it to rest: “Academics compute with precision the ‘‘beta’’ of a stock – its relative volatility in the past – and then build arcane investment and capital-allocation theories around this calculation.... /1

1 reply 0 retweets 1 like

Dhronas Apple‏ @DhronasApple 17 Mar 2021

Replying to @DhronasApple @breakingthemark and

In their hunger for a single statistic to measure risk, however, they forget a fundamental principle: It is better to be approximately right than precisely wrong” /n

1 reply 0 retweets 2 likes

macrocephalopod‏ @macrocephalopod 17 Mar 2021

Replying to @DhronasApple @breakingthemark and

So much wrong with this it's hard to know where to begin - 1. no one things they are computing beta "with precision" there are obviously error bars 2. no one actually believes in capm but it's a useful mental model 3. it is obviously not the only way that stock risk is measured

8:06 AM - 17 Mar 2021

1 reply 0 retweets 0 likes

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