This paper investigates the Generalized Empirical Likelihood (GEL) estimators when there are local violations of the exogeneity condition (near exogeneity) in the case of many weak moments. We also examine the tradeoff between the degree of violation of the exogeneity and the number of nearly...

The primary question addressed in this study is whether firm-specific ERCs - i.e., slope coefficients obtained from time-series regressions of abnormal returns on earnings surprises - are helpful in predicting price responses to future earnings surprises. Fundamental analysis involves both...

Modern investment theory takes it for granted that a Security Market Line (SML) is as certain as its quot;correspondingquot; Capital Market Line. (CML). However, it can be easily demonstrated that this is not the case. Knightian non-probabilistic, information gap uncertainty exists in the...

A prominent problem in actuarial science is to define, or describe, premium calculation principles (pcp's) that satisfy certain properties. A frequently used resolution of the problem is achieved via distorting (e.g., lifting) the de-cumulative distribution function, and then calculating the...

Empirical research has shown that within a cross-section of stocks, investor return increases with book-to-market ratio. The reason is in dispute. One side argues that the market is inefficient; the other, that value stocks are riskier. Statistical analysis of historical data has not resolved...

I use aggregate time series data on profits in the corporate sector, Samp;P composite index and the average total pay of the top 100 CEOs to look for evidence in favor or against a fundamental attribution bias based explanation of the recent explosive growth in CEOs pay. I hypothesize that...

This paper examines whether financial buyers are more likely to initiate takeovers of inefficient firms. We show that they indeed are and thus conclude that takeovers by financial buyers play a potentially beneficial role in the allocation of corporate assets in the U.S. economy. Our analysis of...

In the following study a previously unnoticed link between the normal distribution and beta distribution of the first kind is presented. The indicated relation is illustrated through a design of a test for normality, which is further applied to one of the classical financial econometrics problems

In hedonic housing price modeling, real estate researchers and practitioners are often not completely ignorant about the parameters to be estimated. Experience and expertise usually provide them with tacit understanding of the likely values of the true parameters. Under this scenario the...

As the year goes by, many market participants form expectations as to the effect of certain months on financial markets. Be it the summer doldrums, where trading volume decreases and price action subsides to the January effect, where most expect equity prices to rise in the month. These and...