Nassim Nicholas Taleb Retweeted:

Jus realize this is extremely important. Not only in psychology but also in finance. This debunked various kinds of CAPM related regression. Eg, Fama–MacBeth regression(for risk premium). Same situation as here: return(fat tail) is regressed over beta(thin). E(R^2) is zero! …

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10:18 AM - 18 Sep 2019

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