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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

Labor and the Market Value of the Firm

Merz, Monika; Yashiv, Eran - 2003

essential to account for market volatility. A key result is that firms? value embodies the value of hiring and investment over …

Persistent link: https://www.econbiz.de/10010261658

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 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/10010282392

Growth, volatility and political instability: non-linear time-series evidence for Argentina, 1896 - 2000

Campos, Nauro F.; Karanasos, Menelaos G. - 2007

What is the relationship between economic growth and its volatility? Does political instability affect growth directly … or indirectly, through volatility? This paper tries to answer such questions using a power-ARCH framework with annual … legislative changes) has an indirect (through volatility) negative impact. We also find preliminary support for the idea that …

Persistent link: https://www.econbiz.de/10010268236

Exchange Rate Volatility Effects on the German Labour Market: A Survey of Recent Results and Extensions

Buscher, Herbert S.; Mueller, Claudia - 1999

In this paper, a survey on theoretically expected and empirically proved impacts of exchange rate volatility is given …. With regard to the West German unemployment, the effects of volatility are empirically analysed using three different … volatility measures and four country groups. In autoregressive models, a significant disturbing impact of volatility can be found …

Persistent link: https://www.econbiz.de/10010262270

Labor Market Prospects, Search Intensity and the Transition from College to Work

van Vuuren, Aico; van der Klaauw, Bas; Berkhout, Peter - 2004

. Our estimation results show that a 1 percent point decrease in unemployment rate increases wage offers with 3 percent …

Persistent link: https://www.econbiz.de/10010261923

Combining Micro and Macro Unemployment Duration Data

van den Berg, Gerard J.; van der Klaauw, Bas - 2000

. The distribution of the inflow composition is estimated along with the other parameters. The estimation method deals with …

Persistent link: https://www.econbiz.de/10010262334

Duration Dependence in the Exit Rate out of Unemployment in Belgium: Is It True or Spurious?

Cockx, Bart Leo Wim; Dejemeppe, Muriel - 2002

On the basis of aggregate data for the early nineties, we analyse the determinants of unemployment duration for laid-off male workers in Wallonia (Belgium). Our results demonstrate that if ranking in recruitment occurs, the standard Mixed Proportional Hazard specification can be too restrictive,...

Persistent link: https://www.econbiz.de/10010272729

Skill Upgrading and Rigid Relative Wages: The Case of Danish Manufacturing

Sørensen, Anders; Skaksen, Jan Rose - 2003

Relative wages have been remarkably rigid for the last two decades in Danish manufacturing despite large shifts in relative employment from unskilled labor towards skilled and educated labor. Assuming capital-skill complementarity and fixed relative wages as a consequence of labor market...

Persistent link: https://www.econbiz.de/10010272877

Real wages and the business cycles in Germany

Marczak, Martyna; Beissinger, Thomas - 2010

This paper establishes stylized facts about the cyclicality of real consumer wages and real producer wages in Germany. As detrending methods we apply the deterministic trend model, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter, the Baxter-King filter and the structural time...

Persistent link: https://www.econbiz.de/10010274586

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