arXiv subjects

Ivo Welch

Publications and source records attributed to Ivo Welch.

5 recordsLinked to original sources

arXiv2026

What Useful Alphas?

This paper examines about 200 published long-short anomaly equity portfolios (Chen and Zimmermann, 2022). Over the period through 2005 (December 2005 and earlier) and across all stocks, their median zero-investment return was an impressive 48 bp per month. Using only post-2005 years (January 2006 onward) reduces this to 19 bp. Using only "non-micro" top-3,000 stocks in the top 90% of market capitalization reduces this to 26 bp. Using only post-2005 and non-micro stocks reduces this to 7 bp. Even modest allowances for luck or transaction costs would have eliminated even these 7 bp. The evidence strongly suggests that published academic anomalies have been useless to non-micro-cap portfolio managers in the 21st century. Public stock markets were very efficient.

q-fin.GN↗

arXiv2026

Basin-Specific Intensification of Tropical Cyclones

This paper uses ADT v9.0 HURSAT v07b data to measure tropical cyclone (TC) activity in four basins from 1990-2024. It is only in the North Atlantic basin that relative sea-surface temperature contrasts and the number of extreme (category 3+) tropical cyclones increased. And it is only there that the complete chain held - from annual aerosol pollution to sea-surface temperature contrasts, and in turn from those contrasts to the number of cyclones. Conversely, associations are inconsistent, insignificant, or counterintuitive in the three Pacific Ocean basins, especially insofar as annual temperature contrasts did not associate with annual cyclone activity. (Where appropriate, our analysis controls for aerosol changes and the El Nino-Southern Oscillation.) Worldwide, it is no longer justified for the IPCC to hold that "It is likely that the global proportion of major (Category 3-5) tropical cyclone occurrence has increased over the last four decades" (Summary for Policymakers A.3.4).

physics.ao-ph↗

arXiv2026

Genuine Increases in Tropical Cyclone Intensities

Kossin et al. (2020) report a rising ratio of satellite observations of major C3-C5 storms relative to all C1-C5 storms from 1979 to 2017. Decomposing their R = N(C3+)/N(C1+) statistic into per-category shares shows that their trend was driven primarily by fewer C1 rather than more C3-C5 observations. From the first half to the second half of their sample period, their per-year C1 observations fell by 17%. However, extending the record through 2023 greatly changes the picture. Although the relative decline in C1 observations persists, C3 and C4 observations now increase, too. The signal about the intensification of storms now becomes genuine in the extended sample, in that it is driven no longer only by fewer weak but now also by more strong tropical cyclone observations.

physics.ao-ph↗

arXiv2022

Disaggregating the Increase in Tropical Cyclone Intensity in Kossin et al. (PNAS 2020)

Kossin et al. (2020) successfully test (over the last four decades) the prediction of climate-change models that conditional tropical cyclone intensity (the frequency of major [category 3-5] cyclones divided by the frequency of all cyclones) should increase. Yet, the highest relative proportional increase in incidence occurred in category 3 cyclones. The highest relative proportional decrease occurred in category 5 cyclones. This inference is not due to different treatment of measurement error. It is plausibly due to lower power for relatively rarer category 5 cyclones.

physics.ao-ph↗

arXiv2021

Information Cascades and Social Learning

We review the theory of information cascades and social learning. Our goal is to describe in a relatively integrated and accessible way the more important themes, insights and applications of the literature as it has developed over the last thirty years. We also highlight open questions and promising directions for further theoretical and empirical exploration.

econ.TH↗