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Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns

Hoffmann, Mathias - 2021

Small businesses tend to be owned by wealthy households. Such entrepreneur households also own a large share of U.S. stock market wealth. Fluctuations in entrepreneurs' hunger for risk could therefore help explain time variation in the equity premium. The paper suggests an entrepreneurial...

Persistent link: https://www.econbiz.de/10013317587

Forecasting Exchange Rates : An Investor Perspective

Melvin, Michael - 2013

The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....

Persistent link: https://www.econbiz.de/10013081705

A Neglected Semi-Stylized Fact of Daily Stock Returns

Kraemer, Walter - 2016

We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...

Persistent link: https://www.econbiz.de/10012994582

How Prediction Markets Can Save Event Studies

Snowberg, Erik - 2011

This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions - from the economic effects of party control of government...

Persistent link: https://www.econbiz.de/10013125691

Heterogeneity and Persistence in Returns to Wealth

Fagereng, Andreas - 2018

We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway's administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their...

Persistent link: https://www.econbiz.de/10012913195

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012756639

Cointegration Analysis with Mixed-Frequency Data

Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2021

maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …

Persistent link: https://www.econbiz.de/10013317180

A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Baumeister, Christiane - 2016

has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …

Persistent link: https://www.econbiz.de/10012996209

Vertical Integration and Valuation of International Oil Companies

Misund, Bard - 2014

This paper studies financial statement information from the 50 largest international oil and gas companies during 1992 to 2011 and evaluates their relation to market values. In particular, we examine how this relationship is affected by accounting method choice (successful efforts versus full...

Persistent link: https://www.econbiz.de/10013043599

A Multiple Testing Approach to the Regularisation of Large Sample Correlation Markets

Bailey, Natalia - 2014

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …

Persistent link: https://www.econbiz.de/10013051612

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