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Implementing the panel event study
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
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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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Stock market returns and consumption
Di Maggio, Marco; Kermani, Amir; Majlesi, Kaveh - 2018
stock market returns. We instrument the actual capital gains and dividend payments with past portfolio weights. Unrealized … a flat 5 percent for the rest of the distribution. Households' consumption is significantly more responsive to dividend …
Persistent link: https://www.econbiz.de/10011803183
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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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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
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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
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Rent-sharing and the cyclicality of wage differentials
Du Caju, Philip (contributor); Rycx, François (contributor) - 2008
This paper investigates inter-industry wage differentials in Belgium, taking advantage of access to a unique matched employer-employee data set covering all the years from 1999 to 2005. Findings show the existence of large wage differentials among workers with the same observed characteristics...
Persistent link: https://www.econbiz.de/10003778859
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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
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Chutes and ladders : dual tracks and the motherhood dip
Fernández-Kranz, Daniel; Lacuesta, Aitor; … - 2010
Using rich panel data recently available from Spanish Social Security records, we find that a negative motherhood earnings differential of 2.3 log points remains even after controlling for both individual- and firm-level unobserved heterogeneity. The analysis of the mothers and childless women's...
Persistent link: https://www.econbiz.de/10009315297
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Predictability of asset returns and the efficient market hypothesis
Pesaran, M. Hashem - 2010
inefficiencies (assuming that they exist) can be exploited for profit. -- Market efficiency ; predictability ; heterogeneity of …
Persistent link: https://www.econbiz.de/10003985756