Mini Intro



Ch1: Extended Intro

Ch2: Asset Pricing Theory

Ch3: History of Empirical Tests

Ch4: Scope of Empirical Failure

Ch5: Observed Risk Premiums

Ch6: The Flawed Assumption

Ch7: My New Theory

Ch8: Alpha Examples

Ch9: Tactical Recommendations



Finding Alpha


The big idea presented is that the general absence of a positive risk-return correlation is not due to inadequate measures of risk, but from the fact people are more envious than greedy. This has many implications for investing and corporate finance. Further, the risk premium we see in certain areas is mainly a return discount for cash-like assets. The negative risk premium we see is from too many investors buying assets like lottery tickets, with too much hope. I discuss practicalities in the search for alpha, taking into account the standard office politics, and give examples of alpha in practice. My SSRN paper 'Risk and Return in General' outlining many of the main ideas is here.

These videos complement my book, Finding Alpha: The Search for Alpha When Risk and Return Break Down. They focus on the more technical arguments. If you click on a link, it takes you to the video page, where you can see the narrated PowerPoint presentation done in Camtasia Studios (which allows you to mark up a presentation while speaking). On those pages are links to reference mentioned in the video. You can click on section subheadings within each video, and download the mp3 file and powerpoints used in the presentation.

The intended audience are those interesting in asset pricing theory, quantitative finance, and finance in general. They are from 10 to 50 minutes long, and if you know statistics and algebra should not be too difficult, though like anything it helps to have some familiarity with these concepts.

Each video has links relevant to the ideas and data discussed in that video, but ultimately, buy the book if you want all the references.

Eric Falkenstein