Showing 1 - 10 of 58
This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...
Persistent link: https://www.econbiz.de/10011940681
This paper derives a key monotonicity property common to dividend signalling models: the greater the rate that dividend income is taxed relative to capital gains income, the greater the value of information revealed by a given dividend yield, and hence the greater the associated excess return....
Persistent link: https://www.econbiz.de/10011940555
Berle and Means's analysis of the corporation - in particular, their view that those in control are not the owners of the corporation - raises questions about actions that corporations take to counter concerns regarding management's influence. What mechanisms, if any, do corporations implement...
Persistent link: https://www.econbiz.de/10010290449
Bootstrap tests are tests for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric or nonparametric. We show that, in many circumstances, the size distortion of a bootstrap P value for a test will be one whole order of magnitude smaller than...
Persistent link: https://www.econbiz.de/10011940589
Various versions of the wild bootstrap are studied as applied to regression models with heteroskedastic errors. We develop formal Edgeworth expansions for the error in the rejection probability (ERP) of wild bootstrap tests based on asymptotic t statistics computed with a heteroskedasticity...
Persistent link: https://www.econbiz.de/10011940627
This paper illustrates the problems that arise with traditional tests for the hot hand and proposes instead using a consistent dynamic panel data estimator, which corrects for these problems and is easy to implement. Applying this estimator to a large dataset of amateur, youth golfers, we find...
Persistent link: https://www.econbiz.de/10011583209
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of...
Persistent link: https://www.econbiz.de/10010290348
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...
Persistent link: https://www.econbiz.de/10010290416
We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...
Persistent link: https://www.econbiz.de/10010290422
Despite much recent work on the finite-sample properties of estimators and tests for linear regression models with a single endogenous regressor and weak instruments, little attention has been paid to tests for overidentifying restrictions in these circumstances. We study asymptotic tests for...
Persistent link: https://www.econbiz.de/10010368288