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Local Projections vs. VARs : Lessons From Thousands of DGPs

Li, Dake; Plagborg-Møller, Mikkel; Wolf, Christian - National Bureau of Economic Research - 2022

long horizons. Consequently, unless researchers are overwhelmingly concerned with bias, shrinkage via Bayesian VARs or …

Persistent link: https://www.econbiz.de/10013334425

How to Discount Cashflows with Time-Varying Expected Returns

Ang, Andrew - 2003

While many studies document that the market risk premium is predictable and that betas are not constant, the dividend discount model ignores time-varying risk premiums and betas. We develop a model to consistently value cashflows with changing risk-free rates, predictable risk premiums and...

Persistent link: https://www.econbiz.de/10012468652

Cash Flow Duration and the Term Structure of Equity Returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10012456159

Climate Change and Long-Run Discount Rates : Evidence from Real Estate

Giglio, Stefano - 2015

The optimal investment to mitigate climate change crucially depends on the discount rate used to evaluate the investment's uncertain future benefits. The appropriate discount rate is a function of the horizon over which these benefits accrue and the riskiness of the investment. In this paper, we...

Persistent link: https://www.econbiz.de/10012456904

Estimating Time Preferences from Convex Budgets

Andreoni, James - 2010

discounting. A commonly recognized bias of standard elicitation techniques is the use of linear preferences for identification … utility function curvature. We present a new methodology for identifying time preferences, both discounting and utility … obtained, dynamically consistent discounting, and limited though significant utility function curvature …

Persistent link: https://www.econbiz.de/10012462309

Asset Pricing at the Millennium

Campbell, John Y. - 2000

This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and on the tradeoff between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor (SDF) that prices all assets in the economy. The...

Persistent link: https://www.econbiz.de/10012471180

Currency Risk Premiums : A Multi-horizon Perspective

Chernov, Mikhail; Dahlquist, Magnus - National Bureau of Economic Research - 2023

We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is...

Persistent link: https://www.econbiz.de/10014322805

Estimating the Impact of the Age of Criminal Majority : Decomposing Multiple Treatments in a Regression Discontinuity Framework

Mueller-Smith, Michael; Pyle, Benjamin; Walker, Caroline - National Bureau of Economic Research - 2023

This paper studies the impact of adult prosecution on recidivism and employment trajectories for adolescent, first-time felony defendants. We use extensive linked Criminal Justice Admin- istrative Record System and socio-economic data from Wayne County, Michigan (Detroit). Using the discrete age...

Persistent link: https://www.econbiz.de/10014337757

Identification of Non-Additive Fixed Effects Models : Is the Return to Teacher Quality Homogeneous?

Hahn, Jinyong; Singleton, John D.; Yildiz, Neşe - National Bureau of Economic Research - 2023

Panel or grouped data are often used to allow for unobserved individual heterogeneity in econometric models via fixed effects. In this paper, we discuss identification of a panel data model in which the unobserved heterogeneity both enters additively and interacts with treatment variables. We...

Persistent link: https://www.econbiz.de/10014322772

Instrumental Variables with Unobserved Heterogeneity in Treatment Effects

Mogstad, Magne; Torgovitsky, Alexander - National Bureau of Economic Research - 2024

This chapter synthesizes and critically reviews the modern instrumental variables (IV) literature that allows for unobserved heterogeneity in treatment effects (UHTE). We start by discussing why UHTE is often an essential aspect of IV applications in economics and we explain the conceptual...

Persistent link: https://www.econbiz.de/10015072869