Showing 1 - 10 of 365
We construct a price, dividend, and earnings series for the Industrials sector, the Utilities sector, and the Railroads sector from the beginning of the 1870s until the beginning of the year 2013 from primary sources. To infer about mispricings in the sector markets over more than a century, we...
Persistent link: https://www.econbiz.de/10012458297
rare. Our methodology avoids look-ahead bias and addresses semantic shifts. War discourse positively predicts market …
Persistent link: https://www.econbiz.de/10014287305
We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the …
Persistent link: https://www.econbiz.de/10012474666
Until recently, economists widely believed that economic activity had become less variable in the United States following the end of World War II. Challenging this belief, new research suggests that key historical time series are spuriously volatile, a finding that is highly controversial. Data...
Persistent link: https://www.econbiz.de/10012476419
We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …
Persistent link: https://www.econbiz.de/10012470517
The purpose of the paper is to measure the potential bias in the U.S. import price index due to the appearance of new … product varieties, or new foreign suppliers, and determine the effect of this bias on the estimated income elasticity of … share of import expenditure on the sampled products is falling over time, this will lead to an upward bias in the measured …
Persistent link: https://www.econbiz.de/10012474074
We study how negative sentiment around an industry impacts beliefs and behaviors, focusing on demands for racial justice after the murder of George Floyd and the salience of the "defund the police" movement. We assess stakeholder beliefs on the impact of protests on the stock prices of...
Persistent link: https://www.econbiz.de/10014635693
explain up to 24 percent of the forecast error variance in the aggregate stock index from September 1918 until the end of the …
Persistent link: https://www.econbiz.de/10012482574
The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk-adjusted returns than small- and medium-sized bank stocks, even though large banks are significantly more levered. We uncover a size factor in the component of bank returns that is...
Persistent link: https://www.econbiz.de/10012462104
This paper applies the Bates (RFS, 2006) methodology to the problem of estimating and filtering time- changed Lévy processes, using daily data on U.S. stock market excess returns over 1926-2006. In contrast to density-based filtration approaches, the methodology recursively updates the...
Persistent link: https://www.econbiz.de/10012463735