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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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Business education and portfolio returns
Altmejd, Adam; Jansson, Thomas; Karabulut, Yigitcan - 2024
Using university admission cutoffs that generate exogenous variation in college-major choices, we provide causal evidence that enrollment in a business or economics program leads individuals to invest significantly more in the stock market, earn higher portfolio returns, and ultimately...
Persistent link: https://www.econbiz.de/10014529731
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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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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
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Private information, human capital, and optimal “home bias” in financial markets
Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - 2011
By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...
Persistent link: https://www.econbiz.de/10009516904
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Skewness expectations and portfolio choice
Drerup, Tilman H.; Wibral, Matthias; Zimpelmann, Christian - 2022
Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad...
Persistent link: https://www.econbiz.de/10012805556
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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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Locus of control and investment in risky assets
Salamanca, Nicolás; Grip, Andries de; Fouarge, Didier; … - 2016
We show that household heads with a strong internal economic locus of control are more likely to hold equity and hold a larger share of equity in their investment portfolio. This relation holds when we control for economic preferences and possible confounders such as financial literacy,...
Persistent link: https://www.econbiz.de/10011594548
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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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Innovation and employment in patenting firms : empirical evidence from Europe
Van Roy, Vincent; Vertesy, Daniel; Vivarelli, Marco - 2015
almost 20,000 patenting firms from Europe over the period 2003-2012. The main outcome from the proposed GMM-SYS estimations …
Persistent link: https://www.econbiz.de/10011288522