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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:
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 :
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 : 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 : 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 :
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 : 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 :
ISBN 13 :
Total Pages : 1430 pages
Book Rating : 4.:/5 (334 download)
Download or read book Journal of Housing Research written by and published by . This book was released on 2006 with total page 1430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : 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 :
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 : 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 :
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 : 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 : Mr.Marco Del Negro
Publisher : International Monetary Fund
ISBN 13 : 1451847645
Total Pages : 32 pages
Book Rating : 4.4/5 (518 download)
Download or read book Firm-Level Evidenceon International Stock Market Comovement written by Mr.Marco Del Negro and published by International Monetary Fund. This book was released on 2003-03-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific shocks. We find a large and highly significant link: on average, a firm raising its international sales by 10 percent raises the exposure of its stock return to global shocks by 2 percent and reduces its exposure to country-specific shocks by 1.5 percent. This link has grown stronger since the mid-1980s.
Author : Tano Santos
Publisher :
ISBN 13 :
Total Pages : 59 pages
Book Rating : 4.:/5 (129 download)
Download or read book Labor Income and Predictable Stock Returns written by Tano Santos and published by . This book was released on 2011 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose and test a novel economic mechanism that generates stock return predictability on both the time series and the cross section. In our model, investors' income has two sources, wages and dividends, that grow stochastically over time. As a consequence, the fraction of total income produced by wages changes over time depending on economic conditions. We show that as this fraction fluctuates, the risk premium that investors require to hold stocks varies as well.We test the main implications of the model and find substantial support for it. A regression of stock returns on lagged values of the labor income to consumption ratio produces statistically significant coefficients and adjusted R2?s that are larger than those generated when using the dividend price ratio. Tests of the cross sectional implication find considerable improvements on the performance of both the conditional CAPM and CCAPM when compared to their unconditional counterparts.
Author : A. Kabiri
Publisher : Springer
ISBN 13 : 1137372893
Total Pages : 149 pages
Book Rating : 4.1/5 (373 download)
Download or read book The Great Crash of 1929 written by A. Kabiri and published by Springer. This book was released on 2014-11-25 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the American stock market boom and bust of the 1920s is vital for formulating policies to combat the potentially deleterious effects of busts on the economy. Using new data, Kabiri explains what led to the 1920s stock market boom and 1929 crash and looks at whether 1929 was a bubble or not and whether it could have been anticipated.
