2. Entrepreneurial Finance and Moral Hazard: Evidence from Token Offerings by Paul P. Momtaz (University of California, Los Angeles (UCLA))
During my days as an undergraduate student, my professors showed me a set of very simple trading strategies such as the carry trade. Such strategies are usually referred to as “factor investment”. Bringing prior trading experience to the degree, I found it hard to believe that one can make serious money by following a set of naïve trading rules. Not surprisingly, many factor investors have experienced disappointment by the real-life performances of such strategies.
An observation I made early was that all of these rules seem to work fine in historical backtests over very short periods of time usually not longer than 10 or 20 years. Often, the sample periods contain only a single extreme market situation (e.g. a larger recession) that determines the overall performance of a strategy. Effectively, there is just one observation.
While I see the need for historical backtests, I believe these tests are insufficient. Bootstrapping has been suggested as an alternative. I think we need to go one step further as bootstrapping repeats the same extreme events again and again. Thus, when you bootstrap from a historical sample with one extreme event, you repeatedly analyze the same extreme event. That’s why we looked out for something else and found Monte-Carlo approaches in the risk management literature and hand-tailored them to assess factor investment strategies. – Clemens C. Struck
5. The 2019 Revealed-Preferences Ranking of Law Schools by CJ Ryan (Roger Williams University School of Law) and Brian L. Frye (University of Kentucky – College of Law)
We are excited to see that our annual Revealed-Preferences Ranking of Law Schools has generated so much interest again this year. It, and we, have clearly benefitted from the media and blog coverage that this ranking and our prior rankings have received. This year, we slightly tinkered with our ranking methodology in two key ways so that the rankings more adequately contemplated the full picture of student preferences. Previously, our methodology used weighted measures of 1L quality to operationalize how students reveal their preference of law school. However, this year, we utilized statistically standardized measures of these variables, so that each law school’s performance index was meaningfully different from all other ordinal rankings of law schools, including our prior rankings. We also dedicated a portion of a law school’s performance index (10%) to its activity in the transfer market–given that the transfer market is a secondary market of revealed preference for students–which was a first for our rankings. And once again, we rank law schools regionally as well as nationally.
We initially started this ranking on a theoretical basis, and we have taken great pleasure (and occasionally pains) as our rankings have also become more methodologically rigorous over the last three years. We welcome suggestions about how we can better improve our ranking, and we hope that the ABA can begin to require law schools to report measures of student quality for transfer students to make our ranking even better.” – CJ Ryan and Brian Frye