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Testing CAPM with a large number of assets
Pesaran, Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative …
Persistent link: https://www.econbiz.de/10010282392
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A Structural Empirical Model of Firm Growth, Learning, and Survival
Abbring, Jaap H.; Campbell, Jeffrey R. - 2003
We present a structural model of firm growth, learning, and survival and consider its identification and estimation. In …
Persistent link: https://www.econbiz.de/10010262756
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Employment Effects of Dispersal Policies on Refugee Immigrants, Part I: Theory
Damm, Anna Piil; Rosholm, Michael - 2003
This paper formulates a partial search model in which unemployed individuals simultaneously search for job and location of residence. Most importantly, we show that, ceteris paribus, a decrease in current place utility increases the transition rate into a new location of residence and the...
Persistent link: https://www.econbiz.de/10010261631
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Employment Effects of Dispersal Policies on Refugee Immigrants, Part II: Empirical Evidence
Damm, Anna Piil; Rosholm, Michael - 2003
into relocation to another municipality by joint estimation of the duration of the first non-employment spell and time … until relocation. The main estimation results are as follows: First, the hazard rate into first job is increasing in the …
Persistent link: https://www.econbiz.de/10010261632
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Time, money, peers, and parents : some data and theories on teenage behavior
Kooreman, Peter - 2003
In the first part of the paper I analyze a data set on teenage behavior. The data is a sample of high school students in the Netherlands, and contains information on teenage time use, income, expenditures, and subjective measures of well-being and self-esteem. As all students in a sampled class...
Persistent link: https://www.econbiz.de/10010261636
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Earnings instability of job stayers and job changers
Leonardi, Marco - 2003
I use the PSID to decompose the rise in wage inequality into a permanent and a transitory component. I consider separately job stayers and job changers. I find that earnings instability (the variance of the transitory component of earnings) increased much more among job changers than among job...
Persistent link: https://www.econbiz.de/10010261646
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Potential, prizes and performance : testing tournament theory with professional tennis data
Sunde, Uwe - 2003
This paper tests two hypotheses from the theory of elimination tournaments: (i) that uneven tournaments, where the … contestants are ex ante heterogeneous, entail lower effort exertion; this is a prediction from agency theory that has not been … underlies any agency theory about elimination tournaments, and has been empirically tested in other contexts. The evidence …
Persistent link: https://www.econbiz.de/10010261647
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Minimum wage effects on labor market outcomes under search with bargaining
Flinn, Christopher J. - 2003
Building upon a continuous-time model of search with Nash bargaining in a stationary environment, we analyze the effect of changes in minimum wages on labor market outcomes and welfare. While minimum wage increases invariably lead to employment losses in our model, they may be welfare-improving...
Persistent link: https://www.econbiz.de/10010261648
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Labor and the Market Value of the Firm
Merz, Monika; Yashiv, Eran - 2003
What role does labor play in firms? market value? We explore this question using a production-based asset pricing model with frictions in the adjustment of both capital and labor. We posit that hiring of labor is akin to investment in capital and that the two interact, with the interaction being...
Persistent link: https://www.econbiz.de/10010261658
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Consumption Smoothing and the Structure of Labor and Credit Markets
Bertola, Giuseppe; Koeniger, Winfried - 2004
Smoother labor incomes alleviate credit constraints by reducing workers' desire to borrow, and prospects of upward income mobility have smaller beneficial effects for currently poor workers when borrowing constraints are binding. These simple theoretical insights are consistent with the...
Persistent link: https://www.econbiz.de/10010261817