Showing 1 - 10 of 19,552
In this paper, we provide evidence that the time-series properties of stock returns includeboth structural change and time dependence in the conditional variance. The absence of astructural change component tends to overstate the persistence parameter in a time-dependentmodel specification. The...
Persistent link: https://www.econbiz.de/10012909347
In the present paper we propose a new method, the Penalized Adaptive Method (PAM), for a data driven detection of structural changes in sparse linear models. The method is able to allocate the longest homogeneous intervals over the data sample and simultaneously choose the most proper variables...
Persistent link: https://www.econbiz.de/10012912415
The knowledge of the type of cash-flows offered by an asset, such as either equity-like or debt-like, is necessary for its net present valuation. Recently, the consequences of trades of assets with ambiguous cash-flows on financial systems have been discussed. Several forms of contingent capital...
Persistent link: https://www.econbiz.de/10012917846
This paper examines the benefits of international diversification for US investors, while accounting for market development, corporate governance, market cap effects, and structural change across countries over period August 1996-July 2013. Improved risk adjusted returns are obtained from a...
Persistent link: https://www.econbiz.de/10013027463
This study predicts and finds that the interaction of firm-level and aggregate-level shocks explains a significant portion of shocks to macroeconomic activity. Specifically, we hypothesize that the relation between uncertainty and economic growth is most pronounced when both firm-level and...
Persistent link: https://www.econbiz.de/10012998062
I study the bond price reaction of a merged firms peers, in order to better understand how the market responds to a restructuring. I argue that a merger announcement may signal the possibility of a merger wave to the industry, and in doing so, increase the conditional probability that peer firms...
Persistent link: https://www.econbiz.de/10012935271
We investigate, for China's investable companies, the relation between stock returns and firm characteristics, and the impacts on the relation of the 2001-2003 financial reforms to further liberalize stock markets. For the first time in the literature, we document coexistence of a positive size...
Persistent link: https://www.econbiz.de/10013141508
This paper examines the asset pricing implications of sector-specific shocks in a multi-sector economy where heterogeneous firms interact in the markets for material inputs, investment goods, and final goods. The model is solved using a third-order perturbation and is estimated by the simulated...
Persistent link: https://www.econbiz.de/10013219504
We build a small-scale representation of an economy in which the short rate, inflation and output exhibit unobserved secular and cyclical components that both drive bond yields. We impose the economic restriction that expected bond returns are purely cyclical so that their variance does not...
Persistent link: https://www.econbiz.de/10012845636
This paper aims to probe the influence of innovation spillovers in the artificial intelligence (AI) and financial technology (Fin-tech) industries on the value of the internet of things (IoT) companies. Python was utilized to download public information from Yahoo Finance, and then the GARCH...
Persistent link: https://www.econbiz.de/10014288903