Markus Ibert @IbertMarkus

Assistant Professor of Finance, previously economist @federalreserve markusibert.com Copenhagen, Denmark Joined July 2019

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Markus Ibert @IbertMarkus

11 months ago

@__paleologo How about you write a paper about it

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I'm starting to think that Europe needs to shut down Twitter/X and TikTok. The algorithms on these platforms are used to manipulate our electorate by boosting & de-boosting certain content. We can no longer tolerate this foreign interference!

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Markus Ibert @IbertMarkus

2 years ago

@__paleologo It obviously does not make sense to publish a highly profitable strategy and let everyone else know about it. So, it kind of makes sense that exploiting strategies that are published tend to be „old“ stuff… Economics 101

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Markus Ibert @IbertMarkus

2 years ago

@nntaleb Luckily, there exist multiple testing adjustments that are very straightforward to implement (eg the FDR control of Benamini and Hochberg)

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Markus Ibert @IbertMarkus

2 years ago

@YannickKae So the prof in question probably skipped the statistical details and jumped right to the conclusion.

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Markus Ibert @IbertMarkus

2 years ago

@YannickKae It is fairly accepted though that the relationship between valuation ratios and long-horizon equity returns is economically and statistically significant. Even once you correct for overlapping observations, Stambaugh bias, etc. See onlinelibrary.wiley.com/doi/abs/10.111… for a summary.

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Markus Ibert @IbertMarkus

2 years ago

@instrumenthull @Palio20593398 Wait, but robust errors can be severely biased (downward) in small samples? So it’s not obvious that you should use robust errors here with n = 43.

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Markus Ibert @IbertMarkus

2 years ago

@robin_j_brooks Not sure if true papers.ssrn.com/sol3/papers.cf… … would be surprised if this changed since March24.

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Markus Ibert @IbertMarkus

2 years ago

@stevehouf @DuncanLamont2 @RobinWigg Maybe markets are becoming less efficient because active mgmt has lost share (i.e., passive has risen), no? Thus, declining active share and less efficient markets can go hand-in-hand, so no puzzle. Apart from that, not so obvious how to measure active (closet indexing etc)

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Markus Ibert @IbertMarkus

2 years ago

@__paleologo The Bordalo et al paper still implies that stock prices are excessively volatile wrt to subsequently realized fundamentals, just that you don’t need time varying discount rates to explain it.

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Markus Ibert @IbertMarkus

2 years ago

@__paleologo Stefan Nagel discussed the NBER paper at the NBER SI. Here are his notes: bpb-us-w2.wpmucdn.com/voices.uchicag… Excess volatility seems well and alive.

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Markus Ibert @IbertMarkus

2 years ago

@achenfinance What about hedge fund AUM though? Maybe nowadays everyone is at Citadel running their pod as opposed to opening their own funds.

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Markus Ibert @IbertMarkus

2 years ago

@__paleologo @trelsco This discussion is just empirical evidence that we all have different investment opportunity sets in my view. Give that inst investor that momentum/short vol etc strategy that Cochrane is talking about and it’s alpha to them, but it’s beta for a sophisticated HF.

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Markus Ibert @IbertMarkus

2 years ago

@__paleologo @trelsco „You“ is an investor in question. Momentum can be both alpha and beta, depending on which investor you ask and what their current investment opp. set is. If momentum was not investable for you pre 1993, then it’s alpha. If there is a momentum ETF nowadays, it’s beta.

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Markus Ibert @IbertMarkus

2 years ago

@__paleologo @trelsco I don’t get the confusion. In the equation r = alpha + beta’ F + e, alpha is dependent on the factors (F) in your investment opportunity set. If you only have access to the market, momentum has alpha relative to your set, and you should be willing to pay for it to increase SR

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Markus Ibert @IbertMarkus

2 years ago

@0xdoug @danrobinson This. P = E(mx) and you are missing m. If you are telling me that 75% is the risk-neutral probability, then 0.75c is correct.

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Markus Ibert @IbertMarkus

2 years ago

@EconTraina @__paleologo drive.google.com/file/d/15GZzNN… Check out this one too for CS decomposition on the stock level. They argue that most of the variation of individual stock prices is driven by discount rates, whereas the conventional wisdom based on at least one of the papers above suggests otherwise.

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Andrew Chen @achenfinance

2 years ago

Too bad there was no Covid Wall/Main street disconnect if you looked at the data carefully. Wall street agreed the next few years were effed. federalreserve.gov/econres/notes/…

Alp Simsek @alpsimsek_econ

2 years ago

Great to see our paper with Caballero on asset price overshooting published at the Journal of Finance: onlinelibrary.wiley.com/doi/10.1111/jo… We argue that the Wall/Main street disconnect we have seen in most of 2000 and early 2021 was qualitatively consistent with optimal monetary policy 1/8

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Markus Ibert @IbertMarkus

3 years ago

Job market candidate starting to talk about their job market paper:

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Markus Ibert @IbertMarkus

3 years ago

@schnellenbachj CH und LUX haben nicht nur niedrigere ESt-Last, sondern auch 0% Steuern auf Kapitalgewinne (Vgl DE: 25% + Soli). Klar, dass man sich dann eine kleine Nettovermoegenssteuer leisten kann.