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Predictability of asset returns and the efficient market hypothesis
Pesaran, Mohammad 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/10010276268
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Groupthink: Collective delusions in organizations and markets
Bénabou, Roland - 2013
This paper investigates collective denial and willful blindness in groups, organizations and markets. Agents with … can also seize asset markets, generating investment frenzies and crashes. …
Persistent link: https://www.econbiz.de/10010293122
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Groupthink: Collective Delusions in Organizations and Markets
Benabou, Roland - Institute for the Study of Labor (IZA) - 2013
This paper investigates collective denial and willful blindness in groups, organizations and markets. Agents with … can also seize asset markets, generating investment frenzies and crashes. …
Persistent link: https://www.econbiz.de/10010704406
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Predictability of Asset Returns and the Efficient Market Hypothesis
Pesaran, Hashem - Institute for the Study of Labor (IZA) - 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/10008466034
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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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Correlation Neglect in Belief Formation
Enke, Benjamin; Zimmermann, Florian - 2013
Many information structures generate correlated rather than mutually independent signals, the news media being a prime example. This paper shows experimentally that in such contexts many people neglect these correlations in the updating process and treat correlated information as independent. In...
Persistent link: https://www.econbiz.de/10010319432
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Correlation Neglect in Belief Formation
Enke, Benjamin; Zimmermann, Florian - Institute for the Study of Labor (IZA) - 2013
Many information structures generate correlated rather than mutually independent signals, the news media being a prime example. This paper shows experimentally that in such contexts many people neglect these correlations in the updating process and treat correlated information as independent. In...
Persistent link: https://www.econbiz.de/10010706055
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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 … 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/10010282392
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A Structural Empirical Model of Firm Growth, Learning, and Survival
Abbring, Jaap H.; Campbell, Jeffrey R. - Institute for the Study of Labor (IZA) - 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/10005703362
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Wages, Training and Job Turnover in a Search-Matching Model
Rosholm, Michael; Svarer, Michael - 2000
subsequently estimate the model on Danish labour market data using a structural non-parametric estimation procedure. We find that …
Persistent link: https://www.econbiz.de/10010262429