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Showing
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41
Asymmetry in Tail Dependence of Equity Portfolios
Jondeau, Eric
-
2016
The asymmetry in the tail dependence between U.S. equity portfolios and the aggregate U.S. market is a well-established property. Given the limited number of observations in the tails of a joint distribution, standard non-parametric measures of tail dependence have poor finite-sample properties...
Persistent link: https://www.econbiz.de/10013006268
Saved in:
42
False (and Missed) Discoveries in Financial Economics
Harvey, Campbell R.
-
2020
The multiple testing problem plagues many important issues in finance such as fund and factor selection. Many look good purely by luck. There are a number of statistical techniques to control for multiplicity that reduce Type I errors - but it is unknown by how much. We propose a new way to...
Persistent link: https://www.econbiz.de/10012853426
Saved in:
43
Lucky Factors
Harvey, Campbell R.
-
2020
tests on individual
stocks
| with no loss in power. Finally, our bootstrap implementation, which allows us to impose the …
Persistent link: https://www.econbiz.de/10012856431
Saved in:
44
A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets
Boffelli, Simona
-
2014
We propose a frequency-specific framework to link the common features in the multivariate high-frequency price jumps with the low-frequency exogenous factors. We introduce the measures of commonality and multiplicity based on high-frequency data and define the notions of co-arrivals and co-jumps...
Persistent link: https://www.econbiz.de/10013049140
Saved in:
45
Liquidez En Los Mercados Accionarios Colombianos : Cuánto Hemos Avanzado En Los Últimos 10 Años? (Liquid Funds in Colombian Stock Market: How Have We Improved in the Last 10 Years)...
Agudelo, Diego A.
-
2014
English Abstract: How to measure the liquidity of Colombian
stocks
and its recent evolution. In the context of market … microstructure literature, we define and estimate a measure of liquidity for Colombian
stocks
and provide evidence of the large …, in an econometric model, to a significant improvement in liquidity for most of the individual
stocks
…
Persistent link: https://www.econbiz.de/10013055127
Saved in:
46
Global Excess Liquidity and Asset Prices in Emerging Markets : Evidence from the BRICS
Moussavi, Julien
-
2015
Since the early 2000s, global liquidity has experienced very strong growth. Emerging Markets (EMs) have accumulated large foreign exchange reserves while developed markets have dramatically eased their monetary policies. Global excess liquidity has resulted in an increase in the size of...
Persistent link: https://www.econbiz.de/10013024049
Saved in:
47
A Test of General Asymmetric Dependence
Jiang, Lei
-
2018
We propose a modified mutual information measure to capture general asymmetric dependence between two random variables. Based on this measure, we propose a test of asymmetric dependence and examine its finite-sample performance. We show that our test has better power than competing tests with...
Persistent link: https://www.econbiz.de/10012921346
Saved in:
48
Market Capitalization, Corporate Payouts, and Expected Returns
Jang, Bong-Gyu
-
2018
This paper examines the present value framework that links market capitalization to non-dividend cash flows (i.e., share repurchases and issuances) beyond the conventional price–dividend relationship. We show that total (dividend plus non-dividend) cash flows can account for a large fraction...
Persistent link: https://www.econbiz.de/10012924869
Saved in:
49
Appropriate t-stat hurdles in large-scale testing
Zhu, Min
-
2021
Large-scale inference has become increasingly popular in financial economics. I explore an empirical Bayes approach to large-scale multiple testing. The proposed approach bases its inference on the posterior probability that the null is true given the observed data. It provides a convenient way...
Persistent link: https://www.econbiz.de/10013222451
Saved in:
50
Exploring Inefficiencies in the Primary Catastrophe Bond Market : Focus on the Issuer Effect
Chatoro, Marian
;
Pantelous, Athanasios A.
;
Shao, Jia
-
2021
the primary catastrophe bond market remains inefficient, and that factors external to the underlying
risk
might still …
Persistent link: https://www.econbiz.de/10013222532
Saved in:
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