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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/10013141228
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Locus of Control and Consistent Investment Choices
Pinger, Pia R. - 2018
We document that an internal locus of control can be hindering in financial market situations, where short-term outcomes are determined by chance. The reason is that internally controlled individuals may tend to (over-)react to random outcomes. Our evidence is based on an experiment in which...
Persistent link: https://www.econbiz.de/10012918221
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Skewness Expectations and Portfolio Choice
Drerup, Tilman H.; Wibral, Matthias; Zimpelmann, Christian - 2022
respondents' expectations and sociodemographic information. We also show that while an individuals' expectations are correlated …
Persistent link: https://www.econbiz.de/10013406448
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Asymmetric Information Under the Kafala Sponsorship System : Impacts on Foreign Domestic Workers' Income and Employment Status in the GCC Countries
Malit, Jr., Froilan - 2016
This paper examines the legal and policy implications of information asymmetry on foreign domestic workers employed … information flows and market uncertainties between five key stakeholders: labor-receiving governments, labor-sending governments …, recruitment agencies (subagents), sponsors (employers), and social networks. Several factors contribute to asymmetric information …
Persistent link: https://www.econbiz.de/10012990869
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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
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Less Myth, More Measurement : Decomposing Excess Returns from the 1989 Minimum Wage Hike
Lin, Carl - 2012
(adverse information on minimum-wage worker employers) and (2) a positive effect arising from market performance. In other …
Persistent link: https://www.econbiz.de/10013112058
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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
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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
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Risk Sharing Within and Outside the Firm : The Disparate Effects of Wrongful Discharge Laws on Expected Stock Returns
Mahlstedt, Robert; Weber, Rüdiger - 2021
We study the interrelation between two types of risk sharing -- within the firm and on capital markets -- by analyzing the effect of wrongful-discharge laws (WDLs) on stock returns. Consistent with rational, risk-based pricing, the effect on returns is linked to how shareholders and workers...
Persistent link: https://www.econbiz.de/10013246408
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Risk Sharing within and Outside the Firm : The Disparate Effects of Wrongful Discharge Laws on Expected Stock Returns
Mahlstedt, Robert; Weber, Rüdiger - 2021
We study the effect of wrongful-discharge laws (WDL) on firm-level stock returns. We find disparate effects depending on the exact design of the law. Consistent with rational, risk-based pricing, the effect on returns seems to be linked to how firms share systematic risk with their employees...
Persistent link: https://www.econbiz.de/10013314816