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Hybrid Tail Risk and Expected Stock Returns : When Does the Tail Wag the Dog?

Bali, Turan G. - 2013

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power. Our key innovation is that this covariance is measured across the left tail states of the...

Persistent link: https://www.econbiz.de/10012459202

Legislating Stock Prices

Cohen, Lauren - 2012

In this paper we demonstrate that legislation has a simple, yet previously undetected impact on firm stock prices. While it is understood that the government and firms have an important relationship, it remains difficult to determine which firms any given piece of legislation will affect, and...

Persistent link: https://www.econbiz.de/10012460370

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/10012461095

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/10012461265

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/10012461266

Globalization and the Increasing Correlation between Capital Inflows and Outflows

Davis, J. Scott - 2017

We document that the correlation between capital inflows and outflows has increased substantially over time in a sample … plus imports), which reduces the correlation between capital inflows and outflows. In the context of a two-country model … with 14 shocks we show that the theoretical impact of financial and trade globalization on the correlation between capital …

Persistent link: https://www.econbiz.de/10012455011

Exchange Rate Disconnect in General Equilibrium

Itskhoki, Oleg - 2017

We propose a dynamic general equilibrium model of exchange rate determination, which simultaneously accounts for all major puzzles associated with nominal and real exchange rates. This includes the Meese-Rogoff disconnect puzzle, the PPP puzzle, the terms-of-trade puzzle, the Backus- Smith...

Persistent link: https://www.econbiz.de/10012455280

China's GDP Growth May be Understated

Clark, Hunter - 2017

Concerns about the quality of China's official GDP statistics have been a perennial question in understanding its economic dynamics. We use data on satellite-recorded nighttime lights as an independent benchmark for comparing various published indicators of the state of the Chinese economy....

Persistent link: https://www.econbiz.de/10012455358

Educational Homogamy and Assortative Mating Have Not Increased

Gihleb, Rania - 2016

sensitive to how educational categories are chosen. We also find no evidence that the correlation between spouses' potential …

Persistent link: https://www.econbiz.de/10012455753

Newer Need Not be Better : Evaluating the Penn World Tables and the World Development Indicators Using Nighttime Lights

Pinkovskiy, Maxim - 2016

Nighttime lights data are a measure of economic activity whose error is plausibly independent of the measurement errors of most conventional indicators. Therefore, we can use nighttime lights as an independent benchmark to assess existing measures of economic activity (Pinkovskiy and...

Persistent link: https://www.econbiz.de/10012456459