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Exponent of Cross-Sectional Dependence : Estimation and Inference

Bailey, Natalia - 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/10013110862

When the Market Drives You Crazy : Stock Market Returns and Fatal Car Accidents

Giulietti, Corrado - 2018

The stock market influences some of the most fundamental economic decisions of investors, such as consumption, saving, and labor supply, through the financial wealth channel. This paper provides evidence that daily fluctuations in the stock market have important - and hitherto neglected -...

Persistent link: https://www.econbiz.de/10012912252

Testing CAPM with a Large Number of Assets

Pesaran, M. Hashem - 2012

correlation is found between a twelve-month moving average p-values of the test and the returns of long/short equity strategies …

Persistent link: https://www.econbiz.de/10013107698

Educational Homogamy and Assortative Mating Have Not Increased

Gihleb, Rania - 2016

sensitive to how educational categories are chosen. We also find no evidence that the correlation between spouses' potential …

Persistent link: https://www.econbiz.de/10012977330

Testing the Correlated Random Coefficient Model

Heckman, James J. - 2009

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10013154992

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution

Pesaran, Bahram; Pesaran, M. Hashem - 2021

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

Persistent link: https://www.econbiz.de/10013316934

Stock Market Returns and Consumption

Di Maggio, Marco - 2018

This paper employs Swedish data on households' stock holdings to investigate how consumption responds to changes in stock market returns. We instrument the actual capital gains and dividend payments with past portfolio weights. Unrealized capital gains lead to a marginal propensity to consume...

Persistent link: https://www.econbiz.de/10012925516

Do Board Gender Quotas Matter? Selection, Performance and Stock Market Effects

Ferrari, Giulia - 2018

From business to politics and academia, the economic effects of the introduction of gender quotas are under scrutiny. We provide new evidence based on the introduction of mandatory gender quotas for boards of directors of Italian companies listed on the stock market. Comparing before and after...

Persistent link: https://www.econbiz.de/10012920456

Who Cares About Stock Market Booms and Busts? Evidence from Data on Mental Health

Ratcliffe, Anita - 2012

This paper investigates the relationship between share prices and mental health, exploiting the availability of interview dates in the British Household Panel Survey to match the level and changes in the FTSE All Share price index to respondents over the period 1991-2008. We present evidence...

Persistent link: https://www.econbiz.de/10013098468

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/10013141228

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