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Article on the Journal of Performance Measurement (preview)

The diffusion of R is certainly an interesting phenomenon on many counts. First, it encompasses many different fields of academic as well as applied research. Second, it’s been developing as one of the dominating analytics tools in areas such as mining of big data sets and finance, for example. Third,

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Posted in Economics, R-stats
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S&P 500 implied returns valuation

MICERs are Market Implied Consensus Expected Returns and are the result – in terms of risk premium – of a reverse optimization using some available market information about variances, covariances and capitalizations. Investors express their views about stocks by collectively holding the market portfolio, by doing so market capitalizations represent

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Posted in MICERs
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MICERs on the storm

Investors express their views about stocks by collectively holding the market portfolio, by doing so market capitalizations represent investors’ trading choices to hold securities according to their preferences in terms of expected risk and return. If investors seek to maximize their utility in holding portfolios and do hold their desired

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Posted in Economics, R-stats, Whitepapers
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Road freight transport and big data

Recovery is on the way. Maybe we should say it’s on the road, again. Never before I had dealt with 121,189 rows times 93 columns for the mind boggling figure of 11,270,577 numbers. Browsing the catalogue on the European Union Open Data Portal I stumbled – actually this happened not so randomly  -

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Posted in Economics, R-stats
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Shadow economy on SEPA’s eve

The so called shadow economy still matters and though it has gone down by a meaningful share of GDP in world economies it isn’t yet the shadow of what it used to be until a few years ago. The art and science of gauging macroeconomic quantities tells us that nominal GDP (i.e.

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Posted in Economics
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Predicting human resources in small business

It may leave you only cautiously optimistic knowing when it’s likely to interview the right candidate for recruitment, but it is better than nothing. One common issue businesses, and to a greater extent small businesses, face in managing their HR policies is staff turnover. With a local job market - in full swing in

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Posted in Economics, Management, R-stats
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Bonus, express and underlie

Recently during a webinar we had to face two very interesting but unrelated topics about finance. The first one was about how to consider certificates as an asset class in a diversified portfolio, whereas the second topic revolved around current stock valuation on international markets and the role of emerging

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Posted in Economics, R-stats
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Are top “growers” top “performers”?

Life is hard when it comes to forecast future returns. How much expected earnings growth accounts for relative performance? Based on data by Factset about Stoxx 600 securities as of November 30, 2013, picking the top 115 12-month performers vs. the index and  comparing them with the top 115 securities in

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Posted in Economics
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