A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a...

The equal-risk-contribution, inverse-volatility weighted, maximum-diversification and minimum-variance portfolio weights are all direct functions of the estimated covariance matrix. We perform a Monte Carlo study to assess the impact of covariance matrix misspecification to these risk-based...

Recent research, due to Patatoukas and Thomas (2011) and Ball et al. (2013), focuses on Basu's (1997) conditional conservatism measure and the existence of a denominator effect — whether the difference between the earnings-return coefficients of bad and good news firms (“the Basu...

This paper proposes an ex post volatility estimator, called mixed interval realized variance (MIRV), that uses high-frequency data to provide measurements robust to the idiosyncratic noise of stock markets caused by market microstructures. The theoretical properties of the new volatility...

Research from the United States shows that gaps in early cognitive and noncognitive abilities appear early in the life cycle. Little is known about this important question for developing countries. This paper provides new evidence of sharp differences in cognitive development by socioeconomic...

This paper tests the long run risk and valuation risk model using a robust estimation procedure. The persistent long run component of consumption growth process is proxied by a news based index that is created using a random forest algorithm. This news index is shown to predict aggregate long...

This paper investigates the robustness of three of the core insights of the DeGroot model of boundedly rational updating in social networks. Two updating systems are ε-close if their supremum norm distance is equal to ε. An ε-perturbation of a DeGroot (weighted average) updating system is any...

This paper analyzes remittances sent by Ukrainian emigrants to their country of origin. It explores the main factors influencing the probability of obtaining remittances from abroad as well as the amount of remittances. We investigate how the planned future usage of remittances affects the...

A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a...

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based on the forecast of the conditional variances, covariances and correlations of financial returns. Although the decisions are based on forecasts covariance matrix little is known...