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Corporate efficiency, credit status and investment

Quader, Manzur; Taylor, Karl - 2014

Using a panel of 1122 UK firms listed on the London Stock Exchange over the period of 1981 to 2009, endogenous switching regression models (SRM) incorporating a predicted corporate efficiency index are estimated in this paper in an effort to clarify the role of cash flow in examining the impact...

Persistent link: https://www.econbiz.de/10010379263

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

An empirical growth model for major oil exporters

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - 2012

-run output equation with a coefficient equal to the share of capital (α). The long-run theory is tested using quarterly data on … results support the long-run theory. The existence of long-run relations between real output, foreign output and real oil … steadily over the past three decades, the theory suggests that the effect of oil income on the economy's steady state growth …

Persistent link: https://www.econbiz.de/10009535794

Decomposing excess returns in stochastic linear models

Lin, Carl - 2011

We present a theorem helpful in estimating the mean and variance of a linear function with arbitrary multivariate randomness in its coefficients and variables. We derive a generalized decomposition result from two random linear functions in which the result can be applied to most models using...

Persistent link: https://www.econbiz.de/10009524390

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

Give me your wired and your highly skilled : measuring the impact of immigration policy on employers and shareholders

Lin, Carl - 2011

The paper links finance theory to labor economics and political economy in the context of migration and immigration …

Persistent link: https://www.econbiz.de/10009308050

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 Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...