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How do disposition effect and anchoring bias interact to impact momentum in stock returns?

Hur, Jungshik; Vivek Singh - In: Journal of empirical finance 53 (2019), pp. 238-256

Persistent link: https://www.econbiz.de/10012171673

The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models

Bun, Maurice J.G.; Windmeijer, Frank - 2009

model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel …

Persistent link: https://www.econbiz.de/10010325667

Panel data dynamics and measurement errors: GMM bias, IV validity and model fit - a Monte Carlo study

Biørn, Erik; Han, Xuehui - 2012

are explored by Monte Carlo (MC) simulations. Two kinds of estimators are compared with respect to bias, instrument (IV … estimators' bias and other properties of their distributions of changes in the signal-noise variance ratio, the length of the …

Persistent link: https://www.econbiz.de/10010330209

The measurement error problem in dynamic panel data analysis: Modeling and GMM estimation

Biørn, Erik - 2012

sample biases and IV quality are illustrated by Monte Carlo simulations. Overall, with respect to bias and IV strength, GMM …

Persistent link: https://www.econbiz.de/10010330243

Credit vs. demand constraints: the determinants of US firm-level investment over the business cycles from 1977 to 2011

Schoder, Christian - 2013

The paper studies empirically how relative supply and demand conditions on the capital market affected US firm-level investment over the business cycles from 1977 to 2011. A dynamic econometric specification of capital accumulation including sales growth, Tobin's q, the cash flow-capital ratio...

Persistent link: https://www.econbiz.de/10010460531