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Gene Fama’s Impact : a quantitative analysis
Schwert, George William; Stulz, René M. - 2014
This paper provides a quantitative perspective on Gene Fama's influence on the scholarly community. He has more than …,792. Gene Fama has published highly-cited papers in six decades. His most impactful theoretical work took place earlier than his … most impactful empirical work. While Gene Fama's most impactful empirical asset pricing work was published in the Journal …
Persistent link: https://www.econbiz.de/10010483663
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Mandelbrot, Fama and the emergence of econophysics
Salazar, Boris - In: Cuadernos de economía 35 (2016) 69, pp. 637-662
Persistent link: https://www.econbiz.de/10011649334
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The smallest firm effect: An international study
De Moor, Lieven; Sercu, Piet - In: Journal of International Money and Finance 32 (2013) C, pp. 129-155
, this paper identifies and documents a post-1980s size effect which is persistent, not picked up by a Fama–French-style SMB …
Persistent link: https://www.econbiz.de/10010594686
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The Spirit of Capitalism and Asset Pricing: An Empirical Investigation
Zhang, Qiang - In: Topics in Macroeconomics 6 (2006) 3
We extend and test two models of asset pricing that feature status-seeking through accumulation of not only financial and real assets but also human capital. We use weak-identification robust tests to confront these models with U.S. aggregate data. Contrary to previous results, we find that the...
Persistent link: https://www.econbiz.de/10014588412
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An Analytical Approach to the Welfare Cost of Business Cycles and the Benefit from Activist Monetary Policy
Kiley, Michael T. - In: Contributions in Macroeconomics 3 (2003) 1
A closed-form solution for quantity and asset-price movements in a dynamic general equilibrium model with non-state-separable preferences shows that the welfare cost of fluctuations and the equity premium can be large in such a model. But a large welfare loss from cycles does not imply a large...
Persistent link: https://www.econbiz.de/10014588430
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Policy Shocks in a Monetary Asset-Pricing Model with Endogenous Production / Politikeffekte in einem monetären Asset-Pricing-Modell mit Produktion
Schittko, Ulrich K.; Müller, Markus - In: Jahrbücher für Nationalökonomie und Statistik 218 (1999) 1-2, pp. 147-167
Summary In a framework of a monetary asset pricing model with production the effects of monetary and fiscal policy shocks are investigated. The model is kept simple enough to generate explicit formulae for the equilibrium price functions. With money yielding liquidity services in the exchange...
Persistent link: https://www.econbiz.de/10014608656
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Equity Valuation Using Multiples in the Emerging Market of the United Arab Emirates
Omran, M. F. - In: Review of Middle East Economics and Finance 1 (2003) 3, pp. 72-88
This study offers some preliminary results about stock valuation in the emerging market of the United Arab Emirates. It examines the determinants of three valuation multiples in the period from 1996–2001, the price sales (PS), the price book value (PBV) and the price earnings (PE). Consistent...
Persistent link: https://www.econbiz.de/10014618725
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Finite Sample Properties of the Efficient Method of Moments
Chumacero, Rómulo A. - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 2
Gallant and Tauchen (1996) describe an estimation technique, known as Efficient Method of Moments (EMM), that uses numerical methods to estimate parameters of a structural model. The technique uses as matching conditions (or moments, in the GMM jargon) the gradients of an auxiliary model that...
Persistent link: https://www.econbiz.de/10014620799
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On the exact distribution of the estimated expected utility portfolio weights: Theory and applications
Bodnar, Taras; Schmid, Wolfgang - In: Statistics & Risk Modeling 28 (2011) 4, pp. 319-342
Abstract In this paper we consider the portfolio weights obtained by maximizing the expected quadratic utility function. The unknown parameters of the return process, the mean vector and the covariance matrix, are estimated by their sample counterparts. Assuming independent and multivariate...
Persistent link: https://www.econbiz.de/10014622208
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Property rights and the cost of capital
Bjuggren, Per-Olof; Eklund, Johan E. - In: European journal of law and economics 39 (2015) 3, pp. 523-537
Persistent link: https://www.econbiz.de/10011415721