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Download or read book Robust Estimation of the Cross-Sections of United States Wages and Stock Returns written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carole Marie Amidon
Publisher :
ISBN 13 :
Total Pages : 282 pages
Book Rating : 4.:/5 (527 download)
Download or read book Robust Estimation of the Cross Sections of U.S. Wages and Stock Returns written by Carole Marie Amidon and published by . This book was released on 2003 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark Gertler
Publisher : MIT Press
ISBN 13 : 9780262572217
Total Pages : 436 pages
Book Rating : 4.5/5 (722 download)
Download or read book NBER Macroeconomics Annual 2003 written by Mark Gertler and published by MIT Press. This book was released on 2004 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual presents pioneering work in macroeconomics by leading academic researchers to an audience of public policymakers and the academic community. Each commissioned paper is followed by comments and discussion. This year's edition provides a mix of cutting-edge research and policy analysis on such topics as productivity and information technology, the increase in wealth inequality, behavioral economics, and inflation.
Author :
Publisher :
ISBN 13 :
Total Pages : 448 pages
Book Rating : 4.:/5 (318 download)
Download or read book Journal of Economic Literature written by and published by . This book was released on 2003 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. Benson Durham
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.E/5 ( download)
Download or read book The Extreme Bounds of the Cross-section of Expected Stock Returns written by J. Benson Durham and published by . This book was released on 2002 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher : Springer
ISBN 13 : 1349588024
Total Pages : 7493 pages
Book Rating : 4.3/5 (495 download)
Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Author :
Publisher :
ISBN 13 :
Total Pages : 564 pages
Book Rating : 4.F/5 ( download)
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2009-04 with total page 564 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Esther Eiling
Publisher :
ISBN 13 :
Total Pages : 67 pages
Book Rating : 4.:/5 (13 download)
Download or read book Labor Income Risk and Stock Returns written by Esther Eiling and published by . This book was released on 2019 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper shows that the impact of labor income risk on the cross-section of expected stock returns depends crucially on the horizon. Using a flexible empirical approach that allows us to include multiple horizons simultaneously, we find robust evidence that the two- to four-year horizon strongly dominates. Labor income risk at this medium term horizon carries a highly significant price of risk, while at other horizons it does not. A simple two-factor model that includes the equity market return and labor income risk at the medium term horizon can explain a striking 71% of the cross-sectional variation of 25 size book-to-market and 25 size-investment portfolios. This is a significant improvement over the standard human capital CAPM with quarterly labor income growth that has an R-squared of only 7%. Also, labor income risk generates significant adjustments to the composition of the optimal risky equity portfolio at the medium term horizon. These results are consistent with wage stickiness, where wages are reset every two to four years.
Author : Bernd Fitzenberger
Publisher : Springer Science & Business Media
ISBN 13 : 3662115921
Total Pages : 325 pages
Book Rating : 4.6/5 (621 download)
Download or read book Economic Applications of Quantile Regression written by Bernd Fitzenberger and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantile regression has emerged as an essential statistical tool of contemporary empirical economics and biostatistics. Complementing classical least squares regression methods which are designed to estimate conditional mean models, quantile regression provides an ensemble of techniques for estimating families of conditional quantile models, thus offering a more complete view of the stochastic relationship among variables. This volume collects 12 outstanding empirical contributions in economics and offers an indispensable introduction to interpretation, implementation, and inference aspects of quantile regression.
Author : Jorge M. Uribe
Publisher : Springer Nature
ISBN 13 : 3030445046
Total Pages : 63 pages
Book Rating : 4.0/5 (34 download)
Download or read book Quantile Regression for Cross-Sectional and Time Series Data written by Jorge M. Uribe and published by Springer Nature. This book was released on 2020-03-30 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: This brief addresses the estimation of quantile regression models from a practical perspective, which will support researchers who need to use conditional quantile regression to measure economic relationships among a set of variables. It will also benefit students using the methodology for the first time, and practitioners at private or public organizations who are interested in modeling different fragments of the conditional distribution of a given variable. The book pursues a practical approach with reference to energy markets, helping readers learn the main features of the technique more quickly. Emphasis is placed on the implementation details and the correct interpretation of the quantile regression coefficients rather than on the technicalities of the method, unlike the approach used in the majority of the literature. All applications are illustrated with R.
Author :
Publisher :
ISBN 13 :
Total Pages : 776 pages
Book Rating : 4.3/5 (91 download)
Download or read book American Doctoral Dissertations written by and published by . This book was released on 2002 with total page 776 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Donald B. Keim
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Cross Section of Common Stock Returns written by Donald B. Keim and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A growing number of empirical studies suggest that betas of common stocks do not adequately explain cross-sectional differences in stock returns. Instead, a number of other variables (e.g., size, ratio of book to market, earnings/price) that have no basis in extant theoretical models seem to have significantly predictive ability. Some interpret the findings as evidence of market efficiency. Others argue that the Capital Asset Pricing Model is an incomplete description of equilibrium price formation and these variables are proxies for additional risk factors. In this paper we review the evidence on the cross-sectional behavior of common stock returns on the U.S. and other equity markets around the world. We also report some new evidence on these cross-sectional relations using data from both U.S. and international stock markets. We find, among other results, that although the return premia associated with these ad hoc variables are significant in most international stock markets, the premia are uncorrelated across markets. The accumulating evidence prompts the following question: If these return premia occur primarily in January and are uncorrelated across major international equity markets, is it reasonable to characterize them as compensation for risk?
Author : Stijn Claessens
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Cross-Section of Stock Returns written by Stijn Claessens and published by . This book was released on 2016 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several factors besides m ...
Author : Serhiy Kozak
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (11 download)
Download or read book Shrinking the Cross Section written by Serhiy Kozak and published by . This book was released on 2017 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: We construct a robust stochastic discount factor (SDF) that summarizes the joint explanatory power of a large number of cross-sectional stock return predictors. Our method achieves robust out-of-sample performance in this high-dimensional setting by imposing an economically motivated prior on SDF coefficients that shrinks the contributions of low-variance principal components of the candidate factors. While empirical asset pricing research has focused on SDFs with a small number of characteristics-based factors -- e.g., the four- or five-factor models discussed in the recent literature -- we find that such a characteristics-sparse SDF cannot adequately summarize the cross-section of expected stock returns. However, a relatively small number of principal components of the universe of potential characteristics-based factors can approximate the SDF quite well.
Author : Philip Lawton, CIPM
Publisher : John Wiley & Sons
ISBN 13 : 0470473711
Total Pages : 984 pages
Book Rating : 4.4/5 (74 download)
Download or read book Investment Performance Measurement written by Philip Lawton, CIPM and published by John Wiley & Sons. This book was released on 2009-05-18 with total page 984 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment Performance Measurement Over the past two decades, the importance of measuring, presenting, and evaluating investment performance results has dramatically increased. With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of Global Investment Performance Standards (GIPS®), this discipline has emerged as a central component of effective asset management and, thanks in part to the Certificate in Investment Performance Measurement (CIPM) program, has become a recognized area of specialization for investment professionals. That's why Investment Performance Measurement: Evaluating and Presenting Results the second essential title in the CFA Institute Investment Perspectives series has been created. CFA Institute has a long tradition of publishing content from industry thought leaders, and now this new collection offers unparalleled guidance to those working in the rapidly evolving field of investment management. Drawing from the Research Foundation of CFA Institute, the Financial Analysts Journal, CFA Institute Conference Proceedings Quarterly, CFA Magazine, and the CIPM curriculum, this reliable resource taps into the vast store of knowledge of some of today's most prominent thought leaders from industry professionals to respected academics who have focused on investment performance evaluation for a majority of their careers. Divided into five comprehensive parts, this timely volume opens with an extensive overview of performance measurement, attribution, and appraisal. Here, you'll become familiar with everything from the algebra of time-weighted and money-weighted rates of return to the objectives and techniques of performance appraisal. After this informative introduction, Investment Performance Measurement moves on to: Provide a solid understanding of the theoretical grounds for benchmarking and the trade-offs encountered during practice in Part II: Performance Measurement Describe the different aspects of attribution analysis as well as the determinants of portfolio performance in Part III: Performance Attribution Address everything from hedge fund risks and returns to fund management changes and equity style shifts in Part IV: Performance Appraisal Recount the history and explain the provisions of the GIPS standards with attention paid to the many practical issues that arise in the course of its implementation in Part V: Global Investment Performance Standards Filled with invaluable insights from more than fifty experienced contributors, this practical guide will enhance your understanding of investment performance measurement and put you in a better position to present and evaluate results in the most effective way possible.
Author : R.S. Liptser
Publisher : Springer Science & Business Media
ISBN 13 : 1475742932
Total Pages : 348 pages
Book Rating : 4.4/5 (757 download)
Download or read book Statistics of Random Processes II written by R.S. Liptser and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gaston Michel
Publisher : Springer Science & Business Media
ISBN 13 : 3834994960
Total Pages : 182 pages
Book Rating : 4.8/5 (349 download)
Download or read book Real Estate Risk in Equity Returns written by Gaston Michel and published by Springer Science & Business Media. This book was released on 2009-08-03 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross-sectional variation in equity returns. He shows that an alternative modeI which includes the real estate factor performs as well as or better than the Fama-French model in pricing equity returns.
