Yesterday’s blog entry reported on an e-mail that I sent to Academic Researcher Wade Blog on March 10. 2011. I said in the e-mail that wade’s research discrediting Modern Portfolio Theory was possibly the most important piece of investment research ever published. Wade sent his response the same day.
Wade thanked me for my comments and said: “You haven’t seen anything yet! This was just the secondary study. I’m still working on the main one!”
However, he reported that “my peers do not agree with you.” He sent the paper to the same journal that published the Fisher and Statman research. The e-mail states: “It seems reasonable that they would consider a paper that points out fundamental problems in a paper they previously published, right? Well, I’ve gotten a desk reject! This means, the editors find that the paper is not even good enough to make it worthwhile to be sent out for peer review.”
The correspondence Wade received setting forth the rationale for the rejection stated: “We have both read and met to discuss your paper. Unfortunately, we did not find the paper’s incremental contribution to the academic finance literature, assuming the analysis proved to be correct, rose to the level that we are seeking for papers in the JFR. Thus sending the paper to a reviewer would be inefficient. In terms of guidance, the paper appears to be competently executed and has some interesting insights; however, it is better suited for a more professional-oriented finance outlet such as the Journal of Investing.”
Wade said: “This is the same kind of problem I had with my rejection for the Maximum Withdrawal Rate predictions paper. Academic finance journals think the stuff is pointless and just tell me to send it to a professional-oriented journal instead of an academic journal.”
Wade disagreed with me that his paper discredits Modern Portfolio Theory. He said: “I think my paper is not challenging Modern Portfolio Theory. It just says that Buy-and-Hold is not “mean-variance efficient”. ” He added, however, that “often you end up persuading me to your points.”