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How do economic growth asymmetry and inflation expectations affect Fisher hypothesis and Fama's proxy hypothesis?
Lee, Yuan-Ming; Wang, Kuan Min - In: Quantitative finance and economics 1 (2017) 4, pp. 428-453
Persistent link: https://www.econbiz.de/10012137887
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Do (successful) stock exchanges support or hinder institutions in transition economies?
Hartwell, Christopher A. - In: Cogent economics & finance 2 (2014) 1, pp. 2-18
A stock exchange and the presence of functioning equity markets are part and parcel of an advanced market-based financial system. Previous research has also established that equity markets function more efficiently in the presence of supporting institutions such as property rights and rule of...
Persistent link: https://www.econbiz.de/10010490506
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Jump factor models in large cross‐sections
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456
of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …
Persistent link: https://www.econbiz.de/10012042424
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Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis
Chan-Lau, Jorge A.; Liu, Estelle X.; Schmittmann, … - 2013
This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment....
Persistent link: https://www.econbiz.de/10010128764
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling asset returns
Kapetanios, George; Pesaran, M. Hashem - In: The refinement of econometric estimation and test …, (pp. 239-281). 2007
Persistent link: https://www.econbiz.de/10003461881
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International specialization and the return to capital
Batista, Catia; Potin, Jacques - 2010
new integrated treatment to this question using a panel of 44 developing and developed countries over the period 1976 …
Persistent link: https://www.econbiz.de/10003933636
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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/10008746683
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Panel data tests of return models with applications to global stock returns
Hjalmarsson, Erik - 2005
Persistent link: https://www.econbiz.de/10003553376
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Firm level return-volatility analysis using dynamic panels
Smith, L. Vanessa; Yamagata, Takashi - In: Journal of empirical finance 18 (2011) 5, pp. 847-867
Persistent link: https://www.econbiz.de/10009492528
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Nonparametric testing for anomaly effects in empirical asset pricing models
Jin, Sainan; Su, Liangjun; Zhang, Yonghui - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 9-36
Persistent link: https://www.econbiz.de/10011285985