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Andini, Corrado - 2014

A well-established empirical literature suggests that individual wages are persistent. Several theoretical arguments support this empirical finding. Yet, the standard approach to the estimation of schooling returns does not account for this fact. This paper investigates the consequences of...

Persistent link: https://www.econbiz.de/10013054590

What do unions do to pension performance?

Even, William E.; Macpherson, David A. - 2010

estimate the effects of unions on risk adjusted returns and find that the union effect on performance varies in ways that are … consistent with our priors. In particular, unions have the largest negative effect among multi-employer defined contribution … plans and the negative effect of unions can be eliminated by a switch to participant direction. Also, we find that unions …

Persistent link: https://www.econbiz.de/10009153570

Uniform confidence bands for pricing kernels

Härdle, Wolfgang; Okhrin, Yarema; Wang, Weining - 2010

Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk-neutral density estimator and the subjective density estimator. The...

Persistent link: https://www.econbiz.de/10003952791

Bank-specific and macroeconomic determinants of profitability : a revisit of Pakistani banking sector under dynamic panel data approach

Ur Rahman, Habib; Yousaf, Muhammad Waqas; Tabassum, Nageena - In: International Journal of Financial Studies : open … 8 (2020) 3/42, pp. 1-19

This study aims to examine the effect of the bank-specific and macroeconomic determinants of profitability for the banking sector of Pakistan. To incorporate the issues of endogeneity, unobserved heterogeneity, and profit persistence, we apply a generalised method of moments (GMM) technique...

Persistent link: https://www.econbiz.de/10012291759

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

Ziegler, Andreas - 2009

This paper empirically examines the effect of the inclusion in one of the most prominent sustainability stock indexes, namely the Dow Jones Sustainability World Index (DJSI World), on corporate financial performance. On the basis of panel data for European firms that were included in the Dow...

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

Time-varying risk premium in large cross-sectional equidity datasets

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2011

We develop an econometric methodology to infer the path of risk premia from large unbalanced panel of individual stock returns. We estimate the time-varying risk premia implied by conditional linear asset pricing models where the conditioning includes instruments common to all assets and asset...

Persistent link: https://www.econbiz.de/10009313026

Characteristic-sorted portfolios : estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Persistent link: https://www.econbiz.de/10011523775

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10009535779

Modelling Time-Variation in the Stock Return-Dividend Yield Predictive Equation

McMillan, David G. - 2012

Using data for forty markets, this paper examines the nature and possible causes of time-variation within the stock return-dividend yield predictive regression. The results in this paper show that there is significant time-variation in the predictive equation for returns and that such variation...

Persistent link: https://www.econbiz.de/10013099922

Testing CAPM with a Large Number of Assets

Pesaran, M. Hashem - 2012

Persistent link: https://www.econbiz.de/10013107698

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