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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
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Testing for poverty dominance : an application to Canada
Chen, Wen-hao (contributor); Duclos, Jean-Yves (contributor) - 2008
The paper proposes and applies statistical tests for poverty dominance that check for whether poverty comparisons can be made robustly over ranges of poverty lines and classes of poverty indices. This helps provide both normative and statistical confidence in establishing poverty rankings across...
Persistent link: https://www.econbiz.de/10003777918
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Robust standard errors in transformed likelihood estimation of dynamic panel data models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are crosssectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...
Persistent link: https://www.econbiz.de/10009545313
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Public and private sector jobs, unreported income and consumption gap in India : evidence from micro-data
Kar, Saibal; Roy, Poulomi; Saha, Sarani - 2012
This paper tries to document the presence of unreported income among public sector employees in India. We investigate empirically the wage gap as well as consumption expenditure parity between public and private sector workers. It tests the hypothesis that despite a lower level of public sector...
Persistent link: https://www.econbiz.de/10009534147
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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
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Implementing the panel event study
Clarke, Damian; Tapia Schythe, Kathya - 2020
Many studies estimate the impact of exposure to some quasi-experimental policy or event using a panel event study design. These models, as a generalized extension of 'difference-in-differences' or two-way fixed effect models, allow for dynamic lags and leads to the event of interest to be...
Persistent link: https://www.econbiz.de/10012256137
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Differences in euro-area household finances and their relevance for monetary-policy transmission
Hintermaier, Thomas; Koeniger, Winfried - 2019
This paper quantifies the extent of heterogeneity in consumption responses to changes in real interest rates and house prices in the four largest economies in the euro area: France, Germany, Italy, and Spain. We first calibrate a life-cycle incomplete-markets model with a financial asset and...
Persistent link: https://www.econbiz.de/10012133482
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Higher-order beliefs and risky asset holdings
Gorodnichenko, Yuriy; Yin, Xiao - 2024
We combine a customized survey and randomized controlled trial (RCT) to study the effect of higher-order beliefs on U.S. retail investors' portfolio allocations. We find that investors' higher-order beliefs about stock market returns are correlated with but distinct from their first-order...
Persistent link: https://www.econbiz.de/10014580789
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How does the economic uncertainty affect asset prices under normal and financial distress times?
Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2022
By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress....
Persistent link: https://www.econbiz.de/10013198932
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Panels with nonstationary multifactor error structures
Kapetanios, George (contributor);  … - 2006
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference for stationary panel regressions with multifactor error...
Persistent link: https://www.econbiz.de/10003355571