Narrow search
Showing 1 - 10 of 895
Cover Image
. . . and the Cross-Section of Expected Returns
Harvey, Campbell; Liu, Yan; Zhu, Heqing - National Bureau of Economic Research (NBER) - 2014
Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make any economic or statistical sense to use the usual significance criteria for a newly discovered factor, e.g., a t-ratio greater than 2.0....
Persistent link: https://www.econbiz.de/10010950737
Cover Image
Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - National Bureau of Economic Research (NBER) - 2012
vector that governs the option price dynamics. The estimators converge stably to a mixed-Gaussian law and we develop feasible … estimators for the limiting variance. We provide semiparametric tests for the option price dynamics based on the distance between … the stability of the risk-neutral dynamics over a given period of time. A large-scale Monte Carlo study indicates the …
Persistent link: https://www.econbiz.de/10011271459
Cover Image
Econometric Analysis of Present Value Models When the Discount Factor Is near One
West, Kenneth D. - National Bureau of Economic Research (NBER) - 2012
This paper develops asymptotic econometric theory to help understand data generated by a present value model with a discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that the discount factor approaches 1 as the sample size...
Persistent link: https://www.econbiz.de/10010785624
Cover Image
Maximum likelihood estimation of the equity premium
Wachter, Jessica A.; Avdis, Efstathios - National Bureau of Economic Research (NBER) - 2013
, based on maximum likelihood, that takes into account information contained in dividends and prices. Applied to the postwar …
Persistent link: https://www.econbiz.de/10010796711
Cover Image
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
Schorfheide, Frank; Yaron, Amir; Song, Dongho - National Bureau of Economic Research (NBER) - 2014
We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10010821674
Cover Image
Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files
Aulerich, Nicole M.; Irwin, Scott H.; Garcia, Philip - National Bureau of Economic Research (NBER) - 2013
The "Masters Hypothesis" is the claim that unprecedented buying pressure from new financial index investors created a massive bubble in agricultural futures prices at various times in recent years. This paper analyzes the market impact of financial index investment in agricultural futures...
Persistent link: https://www.econbiz.de/10010969324
Cover Image
The Twilight Zone: OTC Regulatory Regimes and Market Quality
Leuz, Christian; Brüggemann, Ulf; Kaul, Aditya; … - National Bureau of Economic Research (NBER) - 2013
information and regulatory differences when trading OTC stocks. …
Persistent link: https://www.econbiz.de/10010969441
Cover Image
Evidence for Relational Contracts in Sovereign Bank Lending
Benczur, Peter; Ilut, Cosmin L. - National Bureau of Economic Research (NBER) - 2014
This paper presents direct evidence for relational contracts in sovereign bank lending. Unlike the existing empirical literature, its instrumental variables method allows for distinguishing a direct influence of past repayment problems on current spreads (a "punishment" effect in prices) from an...
Persistent link: https://www.econbiz.de/10010890105
Cover Image
Asset Management Contracts and Equilibrium Prices
Vayanos, Dimitri; Buffa, Andrea M.; Woolley, Paul - National Bureau of Economic Research (NBER) - 2014
We study the joint determination of fund managers' contracts and equilibrium asset prices. Because of agency frictions, investors make managers' fees more sensitive to performance and benchmark performance against a market index. This makes managers unwilling to deviate from the index and...
Persistent link: https://www.econbiz.de/10010950698
Cover Image
Financial Market Shocks and the Macroeconomy
Subrahmanyam, Avanidhar; Titman, Sheridan - National Bureau of Economic Research (NBER) - 2013
Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the …
Persistent link: https://www.econbiz.de/10010950778