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1
Estimation of Multivariate Probit Models via Bivariate Probit
Mullahy, John
-
2015
Models having multivariate probit and related structures arise often in applied health economics. When the outcome dimensions of such models are large, however, estimation can be challenging owing to numerical computation constraints and/or speed. This paper suggests the utility of estimating...
Persistent link: https://www.econbiz.de/10012457076
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2
Robust-H-infinity Forecasting and Asset Pricing Anomalies
Tornell, Aaron
-
2000
We present an alternative expectation formation mechanism that helps rationalize well known asset pricing anomalies, such as the predictability of excess returns, excess volatility, and the equity-premium puzzle. As with rational expectations (RE), the expectation formation mechanism we consider...
Persistent link: https://www.econbiz.de/10012470997
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3
Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph
-
2000
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074
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4
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Campbell, John Y.
-
1986
A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real discount rates. This relation can be tested using vector...
Persistent link: https://www.econbiz.de/10012476969
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5
The Variance Risk Premium in Equilibrium Models
Bekaert, Geert
-
2020
The equity variance risk premium is the expected compensation earned for selling variance risk in equity markets. The variance risk premium is positive and shows moderate persistence. High variance risk premiums coincide with the left tail of the consumption growth distribution shifting down....
Persistent link: https://www.econbiz.de/10012481691
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6
Simple Forecasts and Paradigm Shifts
Hong, Harrison
-
2003
done better over the same period. This
theory
makes several distinctive predictions, which, for concreteness, we develop in … a stock-market setting. For example, starting with symmetric and homoskedastic fundamentals, the
theory
yields …
Persistent link: https://www.econbiz.de/10012468685
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7
Interpretable Asset Markets?
Bansal, Ravi
-
2002
In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are predicted by valuation ratios at long horizons. Further we document that asset valuations drop as economic uncertainty rises that is, financial markets dislike economic...
Persistent link: https://www.econbiz.de/10012469320
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8
Maximizing Predictability in the Stock and Bond Markets
Lo, Andrew W.
-
1995
We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources...
Persistent link: https://www.econbiz.de/10012473866
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9
Stock Market Forecastability and Volatility : A Statistical Appraisal
Mankiw, N. Gregory
-
1989
This paper presents and implements statistical tests of stock market forecastability and volatility that are immune from the severe statistical problems of earlier tests. Although the null hypothesis of strict market efficiency is rejected, the evidence against the hypothesis is not...
Persistent link: https://www.econbiz.de/10012475889
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10
Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth A.
-
1987
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012476706
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