Friday, December 16, 2016

Stocks and k-states, part II

I've updated the post on stock market returns and the three-factor model with some examination of the data. Much like the case with prices or profit rates, we can think of there being a macroeconomic statistical equilibrium of IT index states.


  1. Really appreciate this post Jason! It's actually pretty remarkable what you have done here, to relate all the factors of relative stock performance to information equilibrium in one framework. Kudos!

    1. Thanks, Todd! I have another bit on Tobin's Q coming up ...


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