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Testing for Restricted Stochastic Dominance

Davidson, Russell; Duclos, Jean-Yves - 2006

Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two distributions. These tests have a null hypothesis of nondominance, with the advantage that, if this null is rejected, then all that is left is dominance. This also leads us to...

Persistent link: https://www.econbiz.de/10014059083

An Oaxaca Decomposition for Nonlinear Models

Bazen, Stephen - 2016

The widely used Oaxaca decomposition applies to linear models. Extending it to commonly used nonlinear models such as duration models is not straightforward. This paper shows that the original decomposition that uses a linear model can also be obtained by an application of the mean value...

Persistent link: https://www.econbiz.de/10012992744

Portfolio Allocation, Income Uncertainty and Households' Flight from Risk

Brown, Sarah - 2016

households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a … risk, and is unique in recovering for, any given risky asset class, the shares that are reallocated to a safer asset … category. Background risk exerts a significant impact on household portfolios, resulting in a 'flight from risk', away from …

Persistent link: https://www.econbiz.de/10012977335

Decomposing Changes in Income Risk Using Consumption Data

Blundell, Richard W. - 2011

We develop a new approach to the decomposition of income risk within a nonstationary model of intertemporal choice. The … approach allows for changes in income risk over the life-cycle and with the business cycle. It requires only repeated cross … decomposing income risk. The approach is used to investigate the changes in income risk in Britain across the inequality growth …

Persistent link: https://www.econbiz.de/10013118049

Locus of Control and Investment in Risky Assets

Salamanca, Nicolas - 2016

this relation is driven by a link between internal economic locus of control and a lower perception of the risk of …

Persistent link: https://www.econbiz.de/10012977336

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/10013406448

Decomposing Excess Returns in Stochastic Linear Models

Lin, Carl - 2012

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/10013113072

Cross-National Differences in Wealth Portfolios at the Intensive Margin : Is There a Role for Policy?

Doorley, Karina - 2014

Using harmonized wealth data and a novel decomposition approach in this literature, we show that cohort effects exist in the income profiles of asset and debt portfolios for a sample of European countries, the U.S. and Canada. We find that the association between household wealth portfolios at...

Persistent link: https://www.econbiz.de/10013050635

Testing CAPM with a Large Number of Assets

Pesaran, M. Hashem - 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/10013107698

Identification and Decompositions in Probit and Logit Models

Choe, Chung - 2017

Probit and logit models typically require a normalization on the error variance for model identification. This paper shows that in the context of sample mean probability decompositions, error variance normalizations preclude estimation of the effects of group differences in the latent variable...

Persistent link: https://www.econbiz.de/10012963841

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