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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
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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
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CAPM : Correlation and Regression 10 Stocks Comparing With Market Index
Hiranto, Pattaraporn - 2019
which are listed on NYSE. Henceforth CAPM helps to predict the expected return on the assets. This study is using the …
Persistent link: https://www.econbiz.de/10012894507
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On the estimation of the volatility-growth link : conference paper
Launov, Andrey; Posch, Olaf; Wälde, Klaus - 2013
It is common practice to estimate the volatility-growth link by specifying a standard growth equation such that the variance of the error term appears as an explanatory variable in this growth equation. The variance in turn is modelled by a second equation. Hardly any of existing applications of...
Persistent link: https://www.econbiz.de/10010341161
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Chapter 4 The new empirics of economic growth
Durlauf, Steven N.; Quah, Danny T. - In: Handbook of macroeconomics : volume 1, part A, (pp. 235-308). 1999
We provide an overview of recent empirical research on patterns of cross-country growth. The new empirical regularities considered differ from earlier ones, e.g., the well-known Kaldor stylized facts. The new research no longer makes production function accounting a central part of the analysis....
Persistent link: https://www.econbiz.de/10014024246
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Non-parametric estimation of marginal propensities to consume : the case of regression splines
Jørgensen, Casper Nordal; Kuchler, Andreas - 2017
I papiret undersøges anvendeligheden af en ikke-parametrisk metode, en såkaldt regression spline, til estimation af …
Persistent link: https://www.econbiz.de/10011696531
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Data-driven jump detection thresholds for application in jump regressions
Davies, Robert; Tauchen, George Eugene - 2015
This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...
Persistent link: https://www.econbiz.de/10011524214
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A New Approach to Estimating Earnings Forecasting Models : Robust Regression MM-estimation
Qu, Li - 2020
This study focuses on the impact of model estimation methods on earnings forecast accuracy. Compared with an ordinary … least squares (OLS) regression combined with winsorization, robust regression MM-estimation improves the earnings forecast … robust regression MM-estimation. This study contributes to earnings forecasting, valuation, and influential observation …
Persistent link: https://www.econbiz.de/10012850667
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Estimating Private Equity Market Beta Using Cash Flows : A Cross-Sectional Regression of Fund-Market Paired Internal Rates of Return
Jiang, Yindeng - 2014
We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public market equivalent calculation to a cross-sectional regression. By simply regressing funds' internal rates of return on their paired market internal rates of...
Persistent link: https://www.econbiz.de/10013054634
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Evaluating the Robustness of UK Term Structure Decompositions Using Linear Regression Methods
Malik, Sheheryar - 2014
This paper evaluates the robustness of UK bond term premia from affine term structure models. We show that this approach is able to match standard specification tests. In addition, term premia display countercyclical behaviour and are positively related to uncertainty about future inflation,...
Persistent link: https://www.econbiz.de/10013043012