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Barberis, Nicholas - 2002

A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded …

Persistent link: https://www.econbiz.de/10012787252

David, Joel - 2015

information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our …

Persistent link: https://www.econbiz.de/10013017087

Firm-Specific Information and the Efficiency of Investment

Chari, Anusha - 2006

We use a new firm-level dataset to examine the efficiency of investment in emerging economies. In the three-year period following stock market liberalizations, the growth rate of the typical firm's capital stock exceeds its pre-liberalization mean by an average of 5.4 percentage points....

Persistent link: https://www.econbiz.de/10012780226

Indian Equity Markets : Measures of Fundamental Value

Mehra, Rajnish - 2010

In this paper, we take a critical look at the relationship between the value of capital stock in the Indian corporate sector and the valuation of claims to this capital stock in capital markets. We address the question of whether Indian equity valuations over the period 1991- 2008 are consistent...

Persistent link: https://www.econbiz.de/10013142540

International Risk Sharing in the Short Run and in the Long Run

Baxter, Marianne - 2011

International risk-sharing has far-reaching implications both for economic policy and for basic research in economics. When countries do not share risk, individuals in those countries experience fluctuations in their consumption levels that are undesirable and possibly unnecessary. This paper...

Persistent link: https://www.econbiz.de/10013129220

On the Correlation Structure of Microstructure Noise : A Financial Economic Approach

Diebold, Francis X. - 2010

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …

Persistent link: https://www.econbiz.de/10013137011

Testing the Correlated Random Coefficient Model

Heckman, James J. - 2012

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10013116685

The Lucas Orchard

Martin, Ian - 2011

This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard. The model generates return correlations that vary...

Persistent link: https://www.econbiz.de/10013118845

Cyclicality of Credit Supply : Firm Level Evidence

Becker, Bo - 2011

Theory predicts that there is a close link between bank credit supply and the evolution of the business cycle. Yet fluctuations in bank-loan supply have been hard to quantify in the time-series. While loan issuance falls in recessions, it is not clear if this is due to demand or supply. We...

Persistent link: https://www.econbiz.de/10013120314

Estimating the Effects of Large Shareholders Using a Geographic Instrument

Becker, Bo - 2011

Large shareholders may play an important role for firm performance and policies, but identifying this empirically presents a challenge due to the endogeneity of ownership structures. We develop and test an empirical framework which allows us to separate selection from treatment effects of large...

Persistent link: https://www.econbiz.de/10013120315

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