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! https://twitter.com/nntaleb/status/1174231033514008576 …
Original Tweet: https://www.twitter.com/nntaleb/status/1174372136590413825
10:18 AM - 18 Sep 2019
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