This paper studies the returns from investing in index options. Previous research documents significant average option returns, large CAPM alphas, and high Sharpe ratios, and concludes that put options are mispriced. We propose an alternative approach to evaluate the significance of option...

The political economy of resource rich countries is surveyed. The empirical evidence suggests that countries with a large share of primary exports in GNP have bad growth records and high inequality, especially if the quality of institutions and the rule of law are bad. The economic argument that...

Este documento utiliza la metodología de Melo et al. (2003) para la actualización de la descomposición del Break Even Inflation (BEI) presentado en Melo y Granados (2010) cuando se dispone de nuevas observaciones. El procedimiento de actualización utiliza una transformación del modelo de...

Este documento utiliza la metodología de Melo et al. (2003) para la actualización de la descomposición del Break Even Inflation (BEI) presentado en Melo y Granados (2010) cuando se dispone de nuevas observaciones. El procedimiento de actualización utiliza una transformación del modelo de...

The validity of family background variables instrumenting education in income regressions has been much criticized. In this paper, we use data of the 2004 German Socio-Economic Panel and Bayesian analysis in order to analyze to what degree violations of the strong validity assumption affect the...

In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic approximation algorithms whose gain sequence is...

This paper addresses the specification of the econometric models used in the paper “Level of Development, Rate of Economic Growth, and Income Inequality†by Jih Y. Chang and Rati Ram (2000). We find that when accounting for regional heterogeneity, the Kuznets hypothesis no longer...

In this paper we propose a new method of single imputation, reconstruction, and estimation of non-reported, incorrect or excluded values both in the target and in the auxiliary variables where the first is on ratio or interval scale and the last are heterogeneous in measurement scale. Our...

This paper first tests if housing prices in the five segments of the South African housing market, namely, large-middle, medium-middle, small-middle, luxury and affordable, exhibits non-linearity based on smooth transition autoregressive (STAR) models estimated using quarterly data covering the...

La base de datos del Sisbén presenta problemas de subreporte y error de medición en su variable de ingresos lo que impide realizar análisis con esta variable. Este documento propone tres metodologías de imputación a partir de información obtenida de la encuesta de hogares y de la encuesta...