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We investigate the major choice of college graduates where we make choice dependent on expected initial wages and expected wage growth per major. We build a model that allows us to estimate these factors semiparametrically and that corrects for selection bias. We estimate the model on the...
Persistent link: https://www.econbiz.de/10012228687
extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …
Persistent link: https://www.econbiz.de/10011382429
suggested by new growth theory, while addressing the variable selection problem by means of Bayesian model averaging …. Controlling for variable selection uncertainty, we confirm the evidence in favor of new growth theory presented in several earlier …
Persistent link: https://www.econbiz.de/10011382708
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An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the …
Persistent link: https://www.econbiz.de/10011301159
about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …
Persistent link: https://www.econbiz.de/10011949129
multifactor asset pricing methodology that integrates systematic risk measured at different frequencies into a single pricing … systematic risk, which could arise from delayed stock price reaction to systematic factor news. …
Persistent link: https://www.econbiz.de/10012591502
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The risk of investment in schooling has largely been ignored. We assess thevariance in the rate of return by surveying … skewed. Our best guess of ex ante risk in university education is a coefficient ofvariation of about 0.3, comparable to that …
Persistent link: https://www.econbiz.de/10011335192