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High discounts and low fundamental surplus : an equivalence result for unemployment fluctuations

Mitra, Indrajit; Seo, Taeuk; Xu, Yu - 2021

Ljungqvist and Sargent (2017) (LS) show that unemployment fluctuations can be understood in terms of a quantity they call the "fundamental surplus." However, their analysis ignores risk premia, a force that Hall (2017) shows is important in understanding unemployment fluctuations. We show how...

Persistent link: https://www.econbiz.de/10012649569

Is it Beneficial to be Included in a Sustainability Stock Index? A Panel Data Study for European Firms

Ziegler, Andreas - 2009

, namely the Dow Jones Sustainability World Index (DJSI World), on corporate financial performance. On the basis of panel data … assets and even insignificant for Tobin’s Q in the flexible panel data models that include unobserved firm heterogeneity …. Therefore, we conclude that the application of misspecified panel data approaches, similar to cross-sectional models, can lead …

Persistent link: https://www.econbiz.de/10011753185

Economic Growth and Stock Prices : An Empirical Analysis with Panel Data (1999-2007)

Georgiou, Miltiades N. - 2010

should be discouraged. Data source is Eurostat and the panel data ere elaborated through the Eviews software package …

Persistent link: https://www.econbiz.de/10013137240

Pre-Trade Transparency on the Italian Stock Exchange : A Trade Size Model on Panel Data

Bontempi, Maria Elena - 2009

stocks (up to 277) listed on the Italian Stock Exchange were studied through fixed-effects panel models, within intra day …

Persistent link: https://www.econbiz.de/10013156121

Is it Beneficial to Be Included in a Sustainability Stock Index? A Panel Data Study for European Firms

Ziegler, Andreas - 2014

, namely the Dow Jones Sustainability World Index (DJSI World), on corporate financial performance. On the basis of panel data … assets and even insignificant for Tobin's Q in the flexible panel data models that include unobserved firm heterogeneity …. Therefore, we conclude that the application of misspecified panel data approaches, similar to cross-sectional models, can lead …

Persistent link: https://www.econbiz.de/10013070646

Is it beneficial to be included in a sustainability stock index? : a panel data study for European firms

Ziegler, Andreas - 2009

Persistent link: https://www.econbiz.de/10008746683

Estimation of large dimensional conditional factor models in finance

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2019 - This version: August 2019

This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

Persistent link: https://www.econbiz.de/10012101166

Relationship between Macroeconomic Factors and Aggregate Stock Returns in BRICS Stock Markets – A Panel Data Analysis

Tripathi, Vanita - 2016

1995 to 2014 using quarterly panel data. This relationship is also examined during two sub periods viz., a Pre Crisis … period (1995:Q1 to 2007:Q2) and a Post Crisis Period (2007:Q3 to 2014:Q4). Robust econometric tests like Panel Granger … Causality Test, Pedroni's Panel Cointegration Test and Panel Auto Regressive Distributed Lag (ARDL) Model has been used. We find …

Persistent link: https://www.econbiz.de/10012995646

Political Stability and Stock Prices. An Empirical Analysis with Panel Data for EU, Japan and USA (1997–2012)

Georgiou, Miltiades N. - 2014

In the present paper an attempt has been made to estimate how political stability affects stock prices. This analysis refers to EU, Japan and the United States for the period (1997–2012). The findings of present model are in agreement with (Nixon, 2014); (Voth, 2001). The econometric model...

Persistent link: https://www.econbiz.de/10013045298

Fiscal Policy Shocks and Stock Prices in the United States

Mumtaz, Haroon; Theodoridis, Konstantinos - 2021

This paper uses structural vector autoregressive models (SVARs) to show that the response of US stock prices to fiscal shocks changed in 1980. Over the period 1955-1979, an expansionary spending or revenue shock was associated with higher stock prices. After 1980, the response of stock prices to...

Persistent link: https://www.econbiz.de/10013220869