CHAPTER 8 Why This Bad Theory Is So PopularRead more at location 2713
Note: fatto: se nei modelli dei mercati finanziari sostutuiamo l invidia i all egoio e. spighiamo più dati. perchè i ricercatori sono tanto lenti ad aggiustare il loro paradigma lap. fallacia naturalistica: è giusto ciò che è fallacia moralistica fm quel che è giusto è il lap si spiega con la f.m postulare l egoismo ci dice cosa fare: modellistica paretiana. ma postulare l invidia nn ci dice nulla l invidia fa saltare un postulato del decisore razionale: l indifferenza delle alternative irrilevanti. il postulato dell egoismo genera xsino l altrusmo in un gioco ripetuto. quindi: la teoria c è è bella (l economista aspira ad essere uno scienziato) implica ricchezza e altruismo... quindi deve essere vera. le utilità relative rendono i modelli meno stabili e più incerti. l etere il flogisto il comportamentismo il marxismo la psicanalisi... tutte teorie false. solo quelle della fisica sono state abbandonate. prchè? xchè è difficile confutare le scienze umane. l accademia è una tribù e ha bisogno dei suoi sacramenti. la psicologia conta: siamo maestri nel razionalizzare i ns pregiudizi. effeto dotazione. molti lavori sofisticati si sono basati su un paradigma fallace. ammetterlo è duro. come venivano liquidati gli studi fastidiosi: si sottolineavano le inaccuratezze (tanto ce ne sono sempre) trascurando di soppesarle. le riviste accademiche sono troppo specialistiche e nn colgono i fenomeni più vasti. la dimensione storica sfugge. ricordo xsonale di f., la sua tesi: i rendimenti dei titoli rischiosi sono più bassi. xchè la gente preferisce quei titoli. l accdemia nn apprezza e quindi si dà al trading applicando le sue idee che mirano a titoli low volatily. i fund manager e le banche nn apprezzano la strategia low volatile. la strategia dà buoni esiti patrimoniali ma spunta una denuncia xchè xicolosa. conclusione: toccata con mano l inconsistenza dell epistemologia popperiana. Edit
the fact that low-volatility stocks outperform the basic indices.Read more at location 2720
“’for every debate in science there is an isomorphic debate in the methodology of science.”Read more at location 2722
why academics have been so slow to adjust their failed paradigm,Read more at location 2724
While the naturalistic fallacy presumes that nature is what ought to be, the moralistic fallacy is the reverse: what ought to be, is.Read more at location 2728
If everyone’s utility is relative, it is difficult to talk about what societies should do. Economics loses a lot of its ability to objectively determine what to doRead more at location 2729
With relative utility, aggregate wealth has no obvious implication for general welfare.Read more at location 2733
The assumption of individual optimizers was initially seen as a cynical assumption, but Adam Smith and Friedrich Hayek highlighted how such narrow self interest can aggregate to counterintuitive socially beneficial outcomesRead more at location 2734
Robert Axelrod and evolutionary biologists such as Robert Trivers showed that altruism is consistent with self-interest in repeated interactions.Read more at location 2737
If individual utility were dependent of others, economic models would be a lot less tractable,Read more at location 2744
Phlogiston, aether, Skinner’s behaviorism, psychoanalysis, and Marxism are all wrong,Read more at location 2747
you can never conclusively disprove a social theory.Read more at location 2748
As Jonathan Haidt notes about politics, there’s a tendency to build a motivated ring of ignorance around sacred assumptions, those assumptions that simultaneously bind and blindRead more at location 2756
we see what we believe, and it is more important to have the correct biases than an objective and meticulous methodology.Read more at location 2776
Everyone knows that a little inaccuracy can save a lot of explanation,Read more at location 2807
Yet all it took was a simple cross-tabbing of beta with size, presented by credible insiders, to convince most people the standard CAPM model was untenable.Read more at location 2817
the data I present here is a good example of evidence that is too unwieldy for a refereed journal. Academics like rigorous tests using a small set of econometric tests on single asset classes, so the error structure needs to be very particularRead more at location 2820
stocks—are so simple, extended analysis would only obscure them,Read more at location 2825
A major problem is that as most of the active and esteemed researchers have built their careers extending or modifying the current framework, it would be very costly to classify work built on bad assumptions as irrelevant,Read more at location 2836
Yet the problem in asset pricing theory is not some second-order refinement, some inconsistency that occurs at extremes; rather, the entire framework is based on a profound mistakeRead more at location 2838
My 1994 dissertation centered on the low returns to highly volatile equities, which then I argued was related to the incentives and preferences individuals had toward buying highly volatile stocks.Read more at location 2844
Naively, I thought it was better that academia did not appreciate the insight because I could then apply my insight as a fund managerRead more at location 2853
I took a job as an economist with a regional bank in Cleveland mainly because it offered the potential to collaborate with the bank’s assetRead more at location 2855
when I approached several funds for some real capital, there was no interest.Read more at location 2862
Every year or so I would send an academic version of my papers highlighting the low return to high-risk stocks to well-known academics, and the usual response was silence,Read more at location 2865
Eventually, I did become an equity long-short portfolio manager at a hedge fund.Read more at location 2875
The bottom line is that this insight has generated successful out-of-sample results to me personally,Read more at location 2882
I have seen first-hand how data and theory are treated differently the model of science proffered by Karl Popper,Read more at location 2883
The truth will eventually be accepted for a variety of reasons, but it takes a while.Read more at location 2887
