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A Test of a Two-Factor 'Market and Oil' Pricing Model
Faff, Robert W; Brailsford, Tim - 1999
In this paper we employ a GMM-based approach to test the restrictions imposed by a two-factor 'market and oil' pricing …
Persistent link: https://www.econbiz.de/10009451584
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Conditional coskewness and asset pricing
Smith, Daniel R. - 2007
We explore the empirical usefulness of conditional coskewness to explain the cross-section of equity returns. We find that coskewness is an important determinant of the returns to equity, and that the pricing relationship varies through time. In particular we find that when the conditional...
Persistent link: https://www.econbiz.de/10009483388
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Econometrics issues in forward-looking monetary models
Mavroeidis, Sophocles; Hendry, David - 2002
of the single-equation formulations. We provide extensions to existing results on the properties of GMM estimators and … parameters are weakly identified and the GMM estimators are inconsistent and biased in the direction of OLS.We also ¯nd the OLS …
Persistent link: https://www.econbiz.de/10009441413
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How capital structure adjusts dynamically during financial crises
Ariff, Mohamed; Taufiq, Hassan; Shamsher, Mohamad - 2008
The availability of a unique data set of financially distressed firms enabled this study to apply the dynamic capital structure adjustment model to a study of capital structure. In addition, the factors driving capital structure adjustment of financially distressed and of healthy firms were...
Persistent link: https://www.econbiz.de/10009441702
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Preference erosion and the developing countries exports to the EU: a dynamic panel gravity approach
Raimondi, Valentina; Scoppola, Margherita; Olper, Alessandro - 2011
Since 2004 there has been a sharp decrease in border protection for the EU rice industry. Because the EU grants trade preferences to a considerable number of rice exporting developing countries, the reform implied preference erosion as well. By addressing the impact of preference erosion on...
Persistent link: https://www.econbiz.de/10009442292
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Financial Risks, Bankruptcy Probabilities, and the Investment Behaviour of Enterprises
Kirchesch, Kai - 2004
The link between investment and finance usually enters the empirical literature in the form of financial constraints which are defined as the wedge between the costs of internal and external finance or as the risk of being rationed on the credit market. In this context, the sensitivity of...
Persistent link: https://www.econbiz.de/10009442380
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Countercyclical Price Movements during Periods of Peak Demand: Evidence from Grocery Retail Price for Avocados
Li, Lan; Carman, Hoy F.; Sexton, Richard J. - 2008
Using a unique micro dataset and advanced panel models, this study examines the effects of demand shocks on grocery retail price for avocados, a key Californian fresh produce commodity. Retail prices for avocados exhibited countercyclical movements over seasonal demand shocks for avocados...
Persistent link: https://www.econbiz.de/10009443278
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The Dark Side of Coffee Market Power in the German Market for Roasted Coffee
Koerner, Julia - 2002
Germany is the second important coffee market in the world, just overshadowed by the United States. Coffee is the most famous beverage in Germany - even more popular than beer. On the supply side dominate few roasters. Market structure influences the market outcome and explains the processors'...
Persistent link: https://www.econbiz.de/10009443821
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Impact of Foreign Intellectual Property Rights Protection on U.S. Exports and FDI
Gu, Weishi - 2009
was based on a dynamic system GMM modeling framework. The empirical results suggest that IPR has a weak negative effect on …
Persistent link: https://www.econbiz.de/10009444727
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On the estimation and comparison of short-rate models using the generalised method of moments
Faff, R.; Gray, P. - 2006
moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short …-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short …-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of …
Persistent link: https://www.econbiz.de/10009448412