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GMM Estimation of the Number of Latent Factors

Perez, Marcos; Ahn, Seung Chan - Volkswirtschaftliche Fakultät, … - 2007

We propose a generalized method of moment (GMM) estimator of the number of latent factors in linear factor models. The …

Persistent link: https://www.econbiz.de/10005786921

Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns

Møller, Stig V. - School of Economics and Management, University of Aarhus - 2007

sectional and time-series dimensions of the US stock market. GMM estimations show that the model is able to explain a …

Persistent link: https://www.econbiz.de/10005787554

Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach

Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2004

optimal GMM inference to deal with the singularities that arise in some spanning tests. Finally, we include an empirical …

Persistent link: https://www.econbiz.de/10005791800

SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH

Peñaranda, Francisco; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2004

optimal GMM inference to deal with the singularities that arise in some spanning tests. Finally, we include an empirical …

Persistent link: https://www.econbiz.de/10005827073

Asset Prices and asset Correlations in Illiquid Markets

Brunetti, Celso; Caldarera, Alessio - Society for Computational Economics - SCE - 2006

We build a new asset pricing framework to study the effects of aggregate illiquidity on asset prices, volatilities and correlations. In our framework the Black-Scholes economy is obtained as the limiting case of perfectly liquid markets. The model is consistent with empirical studies on the...

Persistent link: https://www.econbiz.de/10005706222

Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model

Todd, Prono - Volkswirtschaftliche Fakultät, … - 2010

Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third … and fourth moments. This paper proposes a simple alternative to efficient GMM based upon the unconditional skewness of … instruments. Sequential estimation involves TSLS in a first step followed by linear GMM. Simultaneous estimation involves either …

Persistent link: https://www.econbiz.de/10008543477

Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique

Todd, Prono - Volkswirtschaftliche Fakultät, … - 2009

A test of the CAPM is developed conditional on a prior belief about the correlation between the true market return and the proxy return used in the test. Consideration is given to the effect of the proxy's mismeasurement of the market return on the estimation of the market model. Failure to...

Persistent link: https://www.econbiz.de/10008543524

Segmentation across International Equity, Bond, and Foreign Exchange Markets

Ning, Cathy; Sapp, Stephen - Department of Economics, Ryerson University - 2009

In this paper, we examine the integration of international financial markets. The integration of financial markets across countries and across asset classes is assumed to hold in most empirical studies, but has only been tested for certain countries and certain asset classes. We test for the...

Persistent link: https://www.econbiz.de/10008549329

Labor and the Market Value of the Firm

Merz, Monika; Yashiv, Eran - Institute for the Study of Labor (IZA) - 2003

What role does labor play in firms’ market value? We explore this question using a production-based asset pricing model with frictions in the adjustment of both capital and labor. We posit that hiring of labor is akin to investment in capital and that the two interact, with the interaction...

Persistent link: https://www.econbiz.de/10005233766

Labor and the Market Value of the Firm

Merz, Monika; Yashiv, Eran - Centre for Economic Performance, LSE - 2005

What role does labor play in a firm's market value? We explore this question using a production-based asset pricing model with frictions in the adjustment of both capital and labor. We posit that hiring of labor is akin to investment in capital and that the two interact, with the interaction...

Persistent link: https://www.econbiz.de/10005151028