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Dissecting Characteristics Nonparametrically

Freyberger, Joachim - 2017

We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10012958874

Dissecting Characteristics Nonparametrically

Freyberger, Joachim - 2018

We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10012910613

The Economics of Bitcoins -- Market Characteristics and Price Jumps

Gronwald, Marc - 2015

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...

Persistent link: https://www.econbiz.de/10013030485

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - 2010

norm, but it is likely to be punctuated with episodes of bubbles and crashes. The paper also considers if market …

Persistent link: https://www.econbiz.de/10013141185

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

Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

Pesaran, M. Hashem - 2017

This paper proposes a new double-question survey method that elicits information about how individuals subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...

Persistent link: https://www.econbiz.de/10012963776

Market Depth, Leverage, and Speculative Bubbles

Enders, Zeno - 2019

We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size … lend to traders with limited liability in a bubble is endogenous. Bubbles reduce welfare of future investors. We provide … general conditions for the possibility of bubbles depending on uncertainty about market size, traders' degree of leverage and …

Persistent link: https://www.econbiz.de/10012899999

Calendar Anomalies in the Ukrainian Stock Market

Caporale, Guglielmo Maria - 2016

This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...

Persistent link: https://www.econbiz.de/10012991942

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

Pesaran, M. Hashem - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10012955752

Cyclical Asset Returns in the Consumption and Investment Goods Sector

Heer, Burkhard - 2013

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with...

Persistent link: https://www.econbiz.de/10013076976

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