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Common cycles in volatility and cross section of stock returns
Barunik, Jozef; Kraicova, Lucie - 2017
a portfolio of financial assets. We argue that the combination of quantile panel regression and wavelet decomposition of …
Persistent link: https://www.econbiz.de/10011722181
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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
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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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Robust block bootstrap panel predictability tests
Westerlund, Joakim; Smeekes, Stephan - 2013
Persistent link: https://www.econbiz.de/10010199463
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Measurement of Common Risk Factors : A Panel Quantile Regression Model for Returns
Cech, Frantisek - 2017
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model … particular Panel Quantile Regression Model for Returns consistently outperforms all the competitors in the 5% and 10% quantiles …
Persistent link: https://www.econbiz.de/10012948828
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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
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Financial, institutional, and macroeconomic determinants of cross-country portfolio equity flows
Afonso, António; Alves, José; Beck, Krzysztof; … - 2022
We consider a new dataset that provides a description of the population of financial equity flows between developed countries from 2001 to 2018. We follow the standard practice of controlling for pull and push factors as well as gravity-style variables, while also accounting for the business...
Persistent link: https://www.econbiz.de/10013332123
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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
apply a generalised method of moments (GMM) technique under the Arellano-Bond framework to a panel of Pakistani banks that … covers the period 2003-2017. The results of a dynamic panel data approach reveal that capital adequacy accelerates the …
Persistent link: https://www.econbiz.de/10012291759
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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
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Measurement of common risk factors : a panel quantile regression model for returns
Čech, František; Barunik, Jozef - 2017
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model … particular Panel Quantile Regression Model for Returns consistently outperforms all the competitors in the 5% and 10% quantiles …
Persistent link: https://www.econbiz.de/10011722173