Narrow search
Showing 1 - 10 of 122
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Bootstrap-Based Improvements for Inference with Clustered Errors
Cameron, Adrian Colin; Gelbach, Jonah B.; Miller, … - National Bureau of Economic Research (NBER) - 2007
-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
Cover Image
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
Cover Image
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) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...
Persistent link: https://www.econbiz.de/10005025630
Cover Image
Student sorting and bias in value added estimation: Selection on observables and unobservables
Rothstein, Jesse - National Bureau of Economic Research (NBER) - 2009
Non-random assignment of students to teachers can bias value added estimates of teachers' causal effects. Rothstein (2008a, b) shows that typical value added models indicate large counter-factual effects of 5th grade teachers on students' 4th grade learning, indicating that classroom assignments...
Persistent link: https://www.econbiz.de/10005830085
Cover Image
Testing Portfolio Efficiency with Conditioning Information
Ferson, Wayne; Siegel, Andrew F. - National Bureau of Economic Research (NBER) - 2006
We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our...
Persistent link: https://www.econbiz.de/10005034911
Cover Image
No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications
Bollerslev, Tim; Andersen, Torben G.; Dobrev, Dobrislav - National Bureau of Economic Research (NBER) - 2007
We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and...
Persistent link: https://www.econbiz.de/10005084541