This paper proposes that, and explains why, hedge profits and regression approach hedge ratios should be calculated using cost-of-carry-adjusted price changes. This Modified Regression Method for determining hedge ratios is denoted MRM. The paper discusses the Error-Correction Model for hedge...

Since the late 90s, Regression Discontinuity (RD) designs have been widely used to estimate Local Average Treatment Effects (LATE). When the running variable is observed with continuous measurement error, identification fails. Assuming non-differential measurement error, we propose a consistent...

Increased use of expectational data for modeling stock returns places a spotlight on the specification of predictor variables. Choices between alternative specifications of a given predictor such as E/P or earnings trend, for example, can have wide-ranging effects on portfolio selection and...