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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 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...

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

Long memory in Turkish unemployment rates

Gil-Alaña, Luis A.; Ozdemir, Zeynel Abidin; Tansel, Aysıt - 2017

In this paper we have examined the unemployment rate series in Turkey by using long memory models and in particular employing fractionally integrated techniques. Our results suggest that unemployment in Turkey is highly persistent, with orders of integration equal to or higher than 1 in most...

Persistent link: https://www.econbiz.de/10011735904

Time aggregation and state dependence in welfare receipt

Bhuller, Manudeep; Brinch, Christian; Königs, Sebastian - 2016

Dynamic discrete-choice models are an important tool in studies of state dependence in benefit receipt. A common assumption of such models is that benefit receipt sequences follow a conditional Markov process. This property has implications for how estimated period-to-period benefit transition...

Persistent link: https://www.econbiz.de/10011453987

Examining the impact of macro-economic conditions on income inequality

Jäntti, Markus; Jenkins, Stephen - 2001

This paper proposes a new approach for analyzing the relationship between macroeconomic factors and the income distribution. The conventional method of analysis is regression of summary inequality indices on variables such as the unemployment and inflation rates. Building on the lessons from...

Persistent link: https://www.econbiz.de/10011403817

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009530816

Firm heterogeneity in skill returns

Böhm, Michael; Esmkhani, Khalil; Gallipoli, Giovanni - 2023

We quantify firm heterogeneity in skill returns and present direct evidence of worker–firm complementarities. Within a model of firms' demand for cognitive and noncognitive attributes we show that identification depends on the availability of skill measures. Linking administrative data to test...

Persistent link: https://www.econbiz.de/10014442305

From Stocks to Flows – Evidence for the Climate-Migration-Nexus

Berlemann, Michael; Haustein, Erik; Steinhardt, Max … - 2021

Slow onset climate change has the potential to cause significant migration flows. Scientists have recently made considerable efforts to quantify these flows based on empirical methods. However, the literature on international migration has failed to come to a clear conclusion as many studies...

Persistent link: https://www.econbiz.de/10013223780

Unions, training, and firm performance : evidence from the British workplace employee relations survey

Addison, John T. (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002226186

Does outsourcing increase profitability?

Görg, Holger (contributor); Hanley, Aoife (contributor) - 2004 - [Elektronische Ressource]

We investigate the relationship between outsourcing and profitability paying particular attention to the endogeneity of …"We investigate the relationship between outsourcing and profitability paying particular attention to the endogeneity …

Persistent link: https://www.econbiz.de/10002481243

Exports and profitability : first evidence for German manufacturing firms

Fryges, Helmut (contributor); Wagner, Joachim (contributor) - 2008

Germany, this paper presents the first comprehensive evidence on the relationship between exports and profitability. It … documents that the positive profitability differential of exporters compared to non-exporters is statistically significant …. Instead, we use a newly developed continuous treatment approach and show that exporting improves the profitability almost over …

Persistent link: https://www.econbiz.de/10003771833

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