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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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Public Wages, Public Employment, and Business Cycle Volatility : Evidence from U.S. Metro Areas
A. Reicher, Claire - 2016
business cycle volatility, hinting at a stabilizing effect of public employment, while public wages correlate weakly and … positively with business cycle volatility, hinting at a destabilizing effect of public wages. To explain these relationships, we …
Persistent link: https://www.econbiz.de/10012989839
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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
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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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Trading While Sleepy? Circadian Mismatch and Excess Volatility in a Global Experimental Asset Market
Dickinson, David L. - 2017
Traders in global markets operate at different local times-of-day. Suboptimal times-of-day may produce sleepiness due to daily variations in sleep/wake patterns and possibly also increased accumulation of hours awake. Global asset markets imply significantly increased heterogeneity in circadian...
Persistent link: https://www.econbiz.de/10012947730
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The Cyclical Volatility of Labor Markets Under Frictional Financial Markets
Petrosky-Nadeau, Nicolas - 2010
Financial frictions are known to raise the volatility of economies to shocks (e.g. Bernanke andGertler 1989). We follow … this line of research to the labor literature concerned by the volatility of labor market outcomes to productivity shocks … are a good candidate to solve the volatility puzzle and rejoin Pissarides (2009) in arguing that hiring costs must be …
Persistent link: https://www.econbiz.de/10013139045
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Fatal Fluctuations? Cyclicality in Infant Mortality in India
Bhalotra, Sonia R. - 2010
This paper investigates the impact of macroeconomic shocks on infant mortality in India and investigates likely mechanisms. A recent OECD-dominated literature shows that mortality at most ages is pro-cyclical but similar analyses for poorer countries are scarce, and both income risk and...
Persistent link: https://www.econbiz.de/10012759709
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Government Deficit Shocks and Okun's Coefficient Volatility : New Insights on the Austerity Versus Growth Debate
Pham, Binh Thai - 2019
This paper connects two salient economic features: (i) Fiscal shocks have asymmetric effects across business cycle phases (Gechert et al., 2019); (ii) Okun's coefficient is time varying and may be unstable. The intertwined dynamic behavior of fiscal shocks and unemployment-output trade-offs are...
Persistent link: https://www.econbiz.de/10012864881