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CDAR

Leading research at the intersection of financial economics and data science.

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ARTICLES

CURRENT EVENTS

SEM217: Sunil Wahal, Arizona State University: R&D, Innovation, and the Stock Market

April 2nd, 648 Evans Hall and ZOOM

We investigate the relation between inventive input (R&D), inventive output (the economic value of patents, EVP), firm-level profitability and asset growth, and stock returns. Current R&D and EVP forecast future profitability. Neither forecast future asset growth. Factor models motivated by q-theory and the dividend discount model fail to price R&D and EVP correctly, leaving large alphas on the table. But model failure is due to design specifics, not economic underpinnings: using cash-based operating profitability to measure expected profitability resurrects both models.

Spring JOIM Conference – honoring Harry M. Markowitz

March 24-26, 2024 / Rady School of Management, UCSD

This conference will be dedicated to honor Harry Markowitz who not only contributed to the modern practice of investment management but also provides the inspiration for much of the current science of investment management research.   We are honored to have Nobel Laureates share their thoughts on the contributions and recollections of Harry Markowitz as well as a distinguished panel of investment management practitioners will discuss their enduring memory and interaction experience with Harry Markowitz.  

AMS Special Session: Loeb Measure after Fifty Years

The Special Session included fourteen research papers and a one-hour discussion session.  Two of Robert Anderson's papers were included in the program:
"General Equilibrium Theory for Measure-Theoretic Economies," joint with Haosui Duanmu, M. Ali Khan, and Metin Uyanik. 
"Existence of Berk-Nash equilibrium with infinite spaces," joint with Haosui Duanmu, Aniruddha Ghosh and M. Ali Khan.