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Downside Risk
Ang, Andrew; Chen, Joseph; Xing, Yuhang - National Bureau of Economic Research (NBER) - 2005
Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market movements. We show that the cross-section of...
Persistent link: https://www.econbiz.de/10005718657
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Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak
Moreira, Marcelo J.; Porter, Jack R.; Suarez, Gustavo A. - National Bureau of Economic Research (NBER) - 2004
expansions and bootstrap validity are not tied to the weak instrument framework, but instead depends on which test statistic is … bootstrap method fails when instruments are weak, since it replaces parameters with inconsistent estimators. Contrary to this … notion, we provide a theoretical proof that guarantees the validity of the bootstrap for the score test, as well as the …
Persistent link: https://www.econbiz.de/10005779012
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Small Sample Properties of GMM for Business Cycle Analysis
Christiano, Lawrence; Haan, Wouter J. Den - National Bureau of Economic Research (NBER) - 1995
We investigate, by Monte Carlo methods, the finite sample properties of GMM procedures for conducting inference about statistics that are of interest in the business cycle literature. These statistics include the second moments of data filtered using the first difference and Hodrick-Prescott...
Persistent link: https://www.econbiz.de/10005779067
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Downside Risk and the Momentum Effect
Ang, Andrew; Chen, Joseph; Xing, Yuhang - National Bureau of Economic Research (NBER) - 2001
Stocks with greater downside risk, which is measured by higher correlations conditional on downside moves of the market, have higher returns. After controlling for the market beta, the size effect and the book-to-market effect, the average rate of return on stocks with the greatest downside risk...
Persistent link: https://www.econbiz.de/10005579945
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Bootstrap-Based Improvements for Inference with Clustered Errors
Cameron, Adrian Colin; Gelbach, Jonah B.; Miller, … - National Bureau of Economic Research (NBER) - 2007
regression parameter estimates. The usual solution is to calculate cluster-robust standard errors that permit heteroskedasticity …-reject, however, with few (5-30) clusters. We investigate inference using cluster bootstrap-t procedures that provide asymptotic …
Persistent link: https://www.econbiz.de/10005725253
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Specification Testing in Panel Data With Instrumental Variables
Metcalf, Gilbert E. - National Bureau of Economic Research (NBER) - 1996
This paper shows a convenient way to test whether instrumental variables are correlated with individual effects in a panel data set. It shows that the correlated fixed effects specification tests developed by Hausman and Taylor (1981) extend in an analogous way to panel data sets with endogenous...
Persistent link: https://www.econbiz.de/10005725355
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Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
Shanken, Jay; Kan, Raymond; Robotti, Cesare - National Bureau of Economic Research (NBER) - 2009
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR …
Persistent link: https://www.econbiz.de/10005025630
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Testing Conditional Factor Models
Ang, Andrew; Kristensen, Dennis - National Bureau of Economic Research (NBER) - 2011
Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The tests can be performed for a single asset or jointly across portfolios. The...
Persistent link: https://www.econbiz.de/10009359903
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International Asset Allocation with Time-Varying Correlations
Ang, Andrew; Bekaert, Geert - National Bureau of Economic Research (NBER) - 1999
It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a...
Persistent link: https://www.econbiz.de/10005774533
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Long Memory and Regime Switching
Diebold, Francis; Inoue, Atsushi - National Bureau of Economic Research (NBER) - 2000
The theoretical and empirical econometric literatures on long memory and regime switching have evolved largely independently, as the phenomena appear distinct. We argue, in contrast, that they are intimately related, and we substantiate our claim in several environments, including a simple...
Persistent link: https://www.econbiz.de/10005725320