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Factor strengths, pricing errors, and estimation of risk premia

Pesaran, M. Hashem; Smith, Ron - 2021

This paper examines the implications of pricing errors and factors that are not strong for the Fama-MacBeth two-pass estimator of risk premia and its asymptotic distribution when T is fixed with n → ∞, and when both n and T → ∞, jointly. While the literature just distinguishes strong and...

Persistent link: https://www.econbiz.de/10012486668

Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios

Pesaran, M. Hashem; Smith, Ron - 2021

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors, which are typically assumed to be strong. In this paper we consider two aspects of the APT. Firstly we relate the factors in the statistical factor model to a theoretically...

Persistent link: https://www.econbiz.de/10012499632

Credibility and transparency of Central Banks : new results based on Ifo s world economicy survey

Hamella, Sandra; Haan, Jakob de - 2004

This paper reports the results of a survey among private sector economists about credibility and transparency of … Survey to answer questions on the importance and determinants of credibility. The results of both surveys are very comparable …. Credibility is considered to be important to attain price stability at low cost, while the best ways to earn credibility are a …

Persistent link: https://www.econbiz.de/10011399168

An experimental study on the effects of communication, credibility, and clustering in network games

Charness, Gary; Feri, Francesco; Meléndez-Jiménez, … - 2019

ineffective. We can rationalize this result with a novel model about the credibility of cheap-talk messages. This credibility is … credibility and show, both theoretically and experimentally, an interaction effect of network structure and communication …

Persistent link: https://www.econbiz.de/10012024395

On credibility and causality in economics : a critical appraisal

Bergh, Andreas; Wichardt, Philipp C. - 2024 - This version: July 9, 2024

to the credibility revolution) tends to put too much emphasis on internal aspects related solely to the study itself. To …

Persistent link: https://www.econbiz.de/10014632289

The long-run evolution of infrastructure services

Goldsmith, Hugh - 2014

This paper traces the 11,000 year evolution of infrastructure systems during major periods of innovation, expansion and diffusion. Throughout history, the key role of the State is self-evident. Private sector involvement has waxed and waned over millennia, although at times it has been pivotal...

Persistent link: https://www.econbiz.de/10010434094

Can integrity replace institutions? : theory and evidence

Aharonovitz, Gilad D.; Skuza, Nathan; Fahs, Faysal - 2009

Institutions are important for proper economic performance, but are replaceable by trust or other social norms. We show that when proper institutions and trust are missing, integrity of the individuals can replace them. We construct a model of a transactions-based economy with contracts...