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Clarke, Damian; Tapia Schythe, Kathya - 2020

practical considerations for its estimation. We describe a Stata command eventdd that allows for simple estimation, inference …

Persistent link: https://www.econbiz.de/10012256137

Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10003985756

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative … during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …

Persistent link: https://www.econbiz.de/10009535779

The value relevance of top executive departures : evidence from the Netherlands

Cools, Cornelis (contributor); Praag, Mirjam van (contributor) - 2007

On theoretical grounds, monitoring of top executives by the (supervisory) board is expected to be value relevant. The empirical evidence is ambiguous and we analyze three non-competing explanations for this ambiguity: (i) The positive effect on firm value of board monitoring is hidden in stock...

Persistent link: https://www.econbiz.de/10003561623

Anatomy of welfare reform evaluation : announcement and implementation effects

Blundell, Richard W.; Francesconi, Marco; Klaauw, … - 2011

This paper formulates a simple model of female labor force decisions which embeds an in-work benefit reform and explicitly allows for announcement and implementation effects. We explore several mechanisms through which women can respond to the announcement of a reform that increases in-work...

Persistent link: https://www.econbiz.de/10009516923

The effect of unconventional fiscal policy on consumption : new evidence based on transactional data

Koeniger, Winfried; Kress, Peter - 2024

We use novel transaction-level card expenditure data to estimate the effect of the temporary value-added tax (VAT) cut in Germany 2020. We find that the annualized growth rate of expenditures for durables increased by 6 percentage points (pp) during the tax cut, with a particularly strong...

Persistent link: https://www.econbiz.de/10015084082

When the market drives you crazy : stock market returns and fatal car accidents

Guilietti, Corrado; Tonin, Mirco; Vlassopoulos, Michael - 2018

The stock market influences some of the most fundamental economic decisions of investors, such as consumption, saving, and labor supply, through the financial wealth channel. This paper provides evidence that daily fluctuations in the stock market have important - and hitherto neglected -...

Persistent link: https://www.econbiz.de/10011893801

International specialization and the return to capital

Batista, Catia; Potin, Jacques - 2010

How does factor accumulation affect the pattern of international specialization and returns to capital? We provide a new integrated treatment to this question using a panel of 44 developing and developed countries over the period 1976-2000. We confirm the Heckscher-Ohlin prediction that, with...

Persistent link: https://www.econbiz.de/10003933636

What do unions do to pension performance?

Even, William E.; Macpherson, David A. - 2010

This study argues that the promotion of union goals could have positive, negative, or neutral effects on risk adjusted return performance. Moreover, the union's ability and incentive to use pension assets to promote union goals will vary with the design of the pension. Using panel data on over...

Persistent link: https://www.econbiz.de/10009153570

Less myth, more measurement : decomposing excess returns from the 1989 minimum wage hike

Lin, Carl - 2012

In the book Myth and Measurement, Card and Krueger (1995) examine the economic impact of the 1989 minimum wage hike on the welfare of 110 firms which employ a disproportionate number of minimum-wage workers. Their results show mixed evidence that excess returns associated with news about the...

Persistent link: https://www.econbiz.de/10009528836

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