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A new approach to estimating private returns to R&D
Cappelen, Ådne; Mohnen, Pierre A.; Raknerud, Arvid; … - 2023
This paper revisits the estimation of private returns to R&D. In an extension of the standard approach, we allow for … large panel of Norwegian firms observed in the period 2001-2018, we estimate the average private net return to be in the …
Persistent link: https://www.econbiz.de/10014335229
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Evaluating factor pricing models using high-frequency panels
Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 889-933
This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...
Persistent link: https://www.econbiz.de/10011800879
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Inflation and infrastructure sector returns in emerging markets : panel ARDL approach
Magweva, Rabson; Sibanda, Mabutho - In: Cogent economics & finance 8 (2020) 1, pp. 1-17
the long and short run. It employed a panel autoregressive distributed lag (PARDL) model applying the mean group (MG …
Persistent link: https://www.econbiz.de/10012219374
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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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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
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808264
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Alternative approaches to estimation and inference in large multifactor panles : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808714
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
The tensions between books and book markets as expressions of culture and books as products in profit-making businesses are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for books through laws concerning prices of books, grants...
Persistent link: https://www.econbiz.de/10002734112
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Mining the Factor Zoo : Estimation of Latent Factor Models with Sufficient Proxies
Wan, Runzhe; Li, Yingying; Lu, Wenbin; Song, Rui - 2023
Latent factor model estimation typically relies on either using domain knowledge to manually pick several observed … estimation robust, flexible, and statistically more accurate. As a bonus, the number of factors is also allowed to grow. At the …
Persistent link: https://www.econbiz.de/10014258585
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Implementing the panel event study
Clarke, Damian; Tapia Schythe, Kathya - 2020
Persistent link: https://www.econbiz.de/10012660185