Trying to Graduate 5

March 30th, 2008 atschool

Q. What is a orthogonal innovation?
A. See here
Q. So, what is it?
A. ….

This is one of my good moleskines used for school work.

After a nap and many hours of research later, I found a paper on the meaning of an orthogonal innovation that is relevant to my paper. I’m guessing that this orthogonal innovation is to remove all impact of something. In the case of CAPM+XR, we have to remove the possible correlation of excess market return. Jorion made a really complex show of this innovation while Iorio and Faff simplified it with a simple model which removes the excess return – which is the first formula above.

Trying to Graduate 4a

March 30th, 2008 atschool

I’ve been listening to musicals as I worked and it occurred to me that I own an astonishing number of musicals about crooks or with crooks as lead roles.

The Producers: couple of creative accounting crooks
Dirty Rotten Scoundrels: conmen
Chicago: Murderers, Con jobs
Music Man: Crook
My Fair Lady: Con job.
Victor/Victoria: Con job
Guys and Dolls: Crooks
How to Succeed In Business Without Really Trying: Con Job (sort of)
The Frogs : Saving the world
Spamalot: Saving the world
La Cage: Love Story
Anything goes: Farce/Love Story
Mack and Mabel : Love story
Ru Guo Ai: Love Story
Cabaret: Love Story

I use to own Les Miserables, which has a thief in one of the lead roles.

Trying to Graduate 4

March 29th, 2008 atschool

I’ve been putting too much effort at work and had wasted Friday sleeping. I haven’t started working out the CAPM+XR modeling. So far, I’ve put forward the research statement and the model description.

So far, it looks frighteningly full of unfriendly greek letters.

What’s left now is the actual rolling up of the sleeves to work on the data.

The data.

Most of the time I’m excited about data. This time, I’ve not even seen it and I’m intimidated. Soon, I will be experiencing despair, frustration, irritability, relief and robot. I’m hoping to sweep right through all these, preferably avoiding the cold, paralytic fear and the fatigue. (Why doesn’t anyone talk about being tired?)

Pillowman #2 Viewing?

March 27th, 2008 theatre

I would like to watch Corbidge at work again but that the seats are not as good (I hate bad seats) I’m not sure if I would enjoy it. I don’t understand why almost all the tickets are out. It’s a good show but being almost completely sold out for two straight weeks in Singapore theatre is just weird.

I just found Kenneth Kwok’s review on inkpot.com and I simply cannot believe that he thought Jenkins was okay. He was aggressively overacting! His over-acting rivals Ma Jing Tao!

Trying to graduate 3

March 23rd, 2008 atschool

Listening to Barrowman introducing the Jerry Herman tribute is an annoying experience – he is not funny and introduces drama where there isn’t any drama on his script. Barrowman’s opening for the song Before The Next Parade Passes: “Come with me to the mid 60s to a little hotel room in out of town Detroit. It’s the middle of winter and a young Jerry Herman knows he needs a closing number for Act 1 of a show he was working on called [dramatic pause] Hello Dolly.” Oh, why can’t they get Nathan Lane instead.

Also, why did they make him do I Won’t Send Roses and I Am What I Am? The first is awful because he’s not that macho and the second because he’s not queen enough.

I love Jerry Herman’s showtunes. They are the kind of Broadway that doesn’t exist now – lots of glamour, drama, fun and also a lot of big belting. I wondered why he stopped working until I found out here he has AIDs. A great write up on him answers.com.

Q. Is 9 pages (12 size font, 1.5 spacing) okay for a lit review?
A. A bit long, don’t you think? I’ve never seen such a long review in any paper. (Not even PHD papers.)

Q. But everyone says time varying is correct!
A. [Stress]

Oh, and my table is distinctly untidy.

Trying to graduate 2

March 23rd, 2008 atschool

Q: If following Iorio and Faff to replicate the study, does it mean I don’t have to perform the time-varying of currency risk premia?
A: Likely. Also, I’d prefer not to because I don’t understand how to time vary any premia.

As I worked, I receded into the happy place of being unaware of reality. By tomorrow, I hope, the rest of the lit review shall be done and then the difficult work of figuring out the data will begin.

Not working

March 22nd, 2008 Uncategorized

Min Zhi wrote about writer’s rooms and while I agree with all her comments – Sarah Water’s and Russell Hoban’s room is distressing and David Lodge’s is lovely – I wonder if in the mind exists a sort of idealised writing room while in reality it is something entirely different.

My work habit is close to Ronan Bennett’s – “The state of my desk is always an indication of how the writing is going. If it’s tidy, I’m avoiding work. If there’s clutter, it’s going well and there’s neither time nor inclination to clear up.”

At the moment, the study table is quite tidy.

Trying to graduate 1

March 22nd, 2008 atschool

Trying to find blogs on ICAPM – because I need more help understanding the problem of exchange rate premia in equity markets vs vanilla flavour CAPM – I find an interesting aside on John Quiggin’s blog talking about information asymmetry and the ICAPM.

I should be really excited about my thesis but I’m only mildly interested. The stats procedures are beyond me, as forewarned by my thesis supervisor. According to requirements, I’m suppose to test for the extra market factor by sub peroids and by industry (most affected by exchange rates). In essence, I’m suppose to replicate one of the studies done by Iorio and Faff. My lit review in brief so far:

Since Vanilla flavoured CAPM = Constant + Beta of stock over market beta + error, then, to figure out if there is sensitivity, we need to add in the exchange rate premium to test for it.

See this for better explanation

Q. Is it okay just to test for sensitivity of exchange rate premia?
A. Maybe not: it tests only sensitivity – according to Loudon and Iorio and Faff. Sensitivity doesn’t mean that it is priced. Also, referring to requirements, I am suppose to test for that as well.
Q. What is exchange rate premium? What premium do we use?
A. Domestic vs International (probably USD, JPY). I think I can figure that out by looking at key trade partners.

Weather’s warmer.

Instead of writing my lit review

March 16th, 2008 atschool

I am reading The Theory Of Interstellar Trade (Krugman, 1978)

Revision Completed

March 16th, 2008 Uncategorized

That above was referring to old Wubai + China Blue songs.

He lost a lot of his strong Min Nang Yu accented Mandarin in his new concert, which I loved. New album is full of ballads – some are quite annoyingly pretty – but I didn’t like the band for their ballads, nor the odd dance/trance tracks, and not very good dance moves (which Wubai seem adamant to show us all). I still love the angsty angry youth and violent imagery of his earlier albums. Happiness and good fortune is dull.

Ack, I’ve just heard Cherry Lover. I’m convinced this guy needs to be impoverished at once!

Have a look at the very lovely China Blue. They have been playing blues on their own. Seriously, they need to find a new lead singer. The incumbent has gone soft in the head.