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Branch Rickey’s Equation Fifty Years Later

Fair, Ray C.; Catambay, Danielle - Cowles Foundation for Research in Economics, Yale University - 2005

This paper analyzes Branch Rickey's 1954 equation in a regression context. The results for 1934--1953 are consistent with Rickey's conclusions, and the equation holds up well when extended 51 years. Two of Rickey's main points were that on base percentage dominates batting average and that...

Persistent link: https://www.econbiz.de/10005593471

Estimated Age Effects in Baseball

Fair, Ray C. - Cowles Foundation for Research in Economics, Yale University - 2005

Age effects in baseball are estimated in this paper using a nonlinear fixed-effects regression. The sample consists of all players who have played 10 or more "full-time" years in the major leagues between 1921 and 2004. Quadratic improvement is assumed up to a peak-performance age, which is...

Persistent link: https://www.econbiz.de/10005593503

Information and the Existence of Stationary Markovian Equilibrium

Karatzas, Ioannis; Shubik, Martin; Sudderth, William D. - Cowles Foundation for Research in Economics, Yale University - 2000

We describe conditions for the existence of a stationary Markovian equilibrium when total production or total endowment is a random variable. Apart from regularity assumptions, there are two crucial conditions: (i) low information -- agents are ignorant of both total endowment and their own...

Persistent link: https://www.econbiz.de/10005087407

A Stochastic Overlapping Generations Economy with Inheritance

Karatzas, Ioannis; Shubik, Martin; Sudderth, William D. - Cowles Foundation for Research in Economics, Yale University - 2000

An overlapping generations model of an exchange economy is considered, with individuals having a finite expected life-span. Conditions concerning birth, death, inheritance and bequests are fully specified. Under such conditions, the existence of stationary Markov equilibrium is established in...

Persistent link: https://www.econbiz.de/10004990769

Information and Volatility

Bergemann, Dirk; Heumann, Tibor; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2013

private information influences aggregate volatility. The maximal aggregate volatility is attained in a noise free information …, as in Lucas [14]. For any given variance of aggregate shocks, the upper bound on aggregate volatility is linearly …

Persistent link: https://www.econbiz.de/10010938545

Stock Prices, Earnings and Expected Dividends

Campbell, John Y.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1988

volatility directly implies the forecastability of long-horizon returns. …

Persistent link: https://www.econbiz.de/10005249149

Why Does Bad News Increase Volatility and Decrease Leverage?

Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2010

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …

Persistent link: https://www.econbiz.de/10009251219

Cointegration and Tests of Present Value Models

Campbell, John Y.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1986

In a model where a variable Y is proportional to the present value, with constant discount rate, of expected future values of a variable y, the "spread" S - Y - qy will be stationary for some q whether or not y must be differenced to induce stationarity. Thus, Y and y are cointegrated. The model...

Persistent link: https://www.econbiz.de/10005762611

Tilted Nonparametric Estimation of Volatility Functions

Phillips, Peter C.B.; Xu, Ke-Li - Cowles Foundation for Research in Economics, Yale University - 2007

the total volatility function in a continuous-time jump diffusion model. …

Persistent link: https://www.econbiz.de/10005093922

Actual and Warranted Relations Between Asset Prices

Beltratti, Andrea E.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1991

Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post or fundamental value. These models do not imply, however, that the covariance between two asset prices is given by the covariance between the ex-post values they respectively forecast:...

Persistent link: https://www.econbiz.de/10005463944