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Firm heterogeneity in skill returns
Böhm, Michael; Esmkhani, Khalil; Gallipoli, Giovanni - 2023
We quantify firm heterogeneity in skill returns and present direct evidence of worker–firm complementarities. Within a model of firms' demand for cognitive and noncognitive attributes we show that identification depends on the availability of skill measures. Linking administrative data to test...
Persistent link: https://www.econbiz.de/10014442305
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Less myth, more measurement : decomposing excess returns from the 1989 minimum wage hike
Lin, Carl - 2012
In the book Myth and Measurement, Card and Krueger (1995) examine the economic impact of the 1989 minimum wage hike on the welfare of 110 firms which employ a disproportionate number of minimum-wage workers. Their results show mixed evidence that excess returns associated with news about the...
Persistent link: https://www.econbiz.de/10009528836
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Decomposing Excess Returns in Stochastic Linear Models
Lin, Carl - 2012
We present a theorem helpful in estimating the mean and variance of a linear function with arbitrary multivariate randomness in its coefficients and variables. We derive a generalized decomposition result from two random linear functions in which the result can be applied to most models using...
Persistent link: https://www.econbiz.de/10013113072
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Hedge fund performance : a quantitative survey
Yang, Fan; Havránek, Tomáš; Havránková, Zuzana; … - 2022
We provide the first quantitative survey of the empirical literature on hedge fund per- formance. We examine the impact of potential biases on the reported results. Empirical analysis in prior studies has been plagued by fragmentation of underlying data and by lim- ited consensus on how hedge...
Persistent link: https://www.econbiz.de/10013270929
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Where have all the alphas gone? : a meta-analysis of hedge fund performance
Yang, Fan; Havránek, Tomáš; Havránková, Zuzana; … - 2024
We examine the factors influencing published estimates of hedge fund performance. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the "alphas") collected from 74 studies, we document a strong downward trend in the reported alphas. The trend...
Persistent link: https://www.econbiz.de/10014521048
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Hedge Fund Performance : A Quantitative Survey
Yang, Fan; Havránek, Tomáš; Havránková, Zuzana; … - 2022
We provide the first quantitative survey of the empirical literature on hedge fund performance. We examine the impact of potential biases on the reported results. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the "alpha") collected from 74...
Persistent link: https://www.econbiz.de/10013404563
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Wage Differentials, Firm Investment, and Stock Returns
Kim, Yongjun - 2018
This study investigates the effects of labor costs on firms' capital investments and stock returns. I estimate wage premia across U.S. industries and show that the negative investment-return relation implied by q-theory is steeper for firms paying high wage premia than for firms paying low wage...
Persistent link: https://www.econbiz.de/10012936438
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Persistence Bias and Schooling Returns
Andini, Corrado - 2014
A well-established empirical literature suggests that individual wages are persistent. Several theoretical arguments …
Persistent link: https://www.econbiz.de/10013054590
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Dissecting Idiosyncratic Earnings Risk
Halvorsen, Elin - 2020
wages. Our findings from the Norwegian administrative and survey data are as follows: (i) Nonlinear mean reversion in … earnings is driven by the dynamics of hours worked rather than wages since wage dynamics are close to linear while negative … and wages, whereas small changes are associated mainly with wage shocks (iii) Both wages and hours contribute to negative …
Persistent link: https://www.econbiz.de/10012826282
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Dissecting Idiosyncratic Earnings Risk
Halvorsen, Elin; Holter, Hans A.; Ozkan, Serdar; … - 2022
wages. Our findings from the Norwegian administrative and survey data are as follows: (i) Nonlinear mean reversion in … earnings is driven by the dynamics of hours worked rather than wages since wage dynamics are close to linear, while hours … changes are driven equally by hours and wages, whereas small changes are associated mainly with wage shocks. (iii) Both wages …
Persistent link: https://www.econbiz.de/10014239718