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The Paradox of Civilization : Pre-Institutional Sources of Security and Prosperity
Dal Bo, Ernesto - 2015
The rise of civilizations involved the dual emergence of economies that could produce surplus (“prosperity”) and states that could protect surplus (“security”). But the joint achievement of security and prosperity had to escape a paradox: prosperity attracts predation, and higher...
Persistent link: https://www.econbiz.de/10013009442
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Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns
Burnside, A. Craig - 2010
When excess returns are used to estimate linear stochastic discount factor (SDF) models, researchers often adopt a normalization of the SDF that sets its mean to 1, or one that sets its intercept to 1. These normalizations are often treated as equivalent, but they are subtly different both in...
Persistent link: https://www.econbiz.de/10013134862
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Digesting Anomalies : An Investment Approach
Hou, Kewei - 2012
Motivated from investment-based asset pricing, we propose a new factor model consisting of the market factor, a size … factor, an investment factor, and a return on equity factor. The new factor model outperforms the Carhart four-factor model …, composite issuance, as well as on investment and return on equity. The new model performs similarly as the Carhart model in …
Persistent link: https://www.econbiz.de/10013099823
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Factor Model Forecasts of Exchange Rates
Engel, Charles M. - 2012
We construct factors from a cross section of exchange rates and use the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no serial correlation in the univariate exchange rate...
Persistent link: https://www.econbiz.de/10013100676
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Mispricing Factors
Stambaugh, Robert F. - 2015
A four-factor model with two "mispricing" factors, in addition to market and size factors, accommodates a large set of anomalies better than notable four- and five-factor alternative models. Moreover, our size factor reveals a small-firm premium nearly twice usual estimates. The mispricing...
Persistent link: https://www.econbiz.de/10013015979
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Estimating the Technology of Cognitive and Noncognitive Skill Formation
Cunha, Flavio - 2015
investment in children compared to later remediation. We establish nonparametric identification of a general class of production …
Persistent link: https://www.econbiz.de/10013039154
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A Factor Analysis of Bond Risk Premia
Ludvigson, Sydney C. - 2010
This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static factors by the method of asymptotic principal...
Persistent link: https://www.econbiz.de/10013152009
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Quantifying Family, School, and Location Effects in the Presence of Complementarities and Sorting
Agrawal, Mohit - 2018
We extend the control function approach of Altonji and Mansfield (2018) to allow for multiple group levels and complementarities. Our analysis provides a foundation for causal interpretation of multilevel mixed effects models in the presence of sorting. In our empirical application, we obtain...
Persistent link: https://www.econbiz.de/10012909131
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Factor Analysis in a Model with Rational Expectations
Beyer, Andreas - 2010
DSGE models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation methods have several drawbacks, including possible lack or weakness of...
Persistent link: https://www.econbiz.de/10012759834
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Wealth Distribution and Social Mobility in the Us : A Quantitative Approach
Benhabib, Jess - 2015
This paper attempts to quantitatively identify the factors that drive wealth dynamics in the U.S. and are consistent with its observed skewed cross-sectional distribution and social mobility. We concentrate on three critical factors: a skewed and persistent distribution of earnings, differential...
Persistent link: https://www.econbiz.de/10013011924