Showing 1 - 10 of 12
We use a point-pattern methodology to explore the detailed location patterns of UK manufacturing industries. In particular, we consider the location of entrants and exiters vs. continuing establishments, domestic- vs. foreign-owned, large vs. small, and affiliated vs. independent. We also...
Persistent link: https://www.econbiz.de/10005792236
This paper documents the existence of a slowly evolving trend in the dividend-price ratio, dpt, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The...
Persistent link: https://www.econbiz.de/10008468657
normal and Student t innovations, and decompose them into skewness and kurtosis components, from which we obtain more …We analyse the Generalised Hyperbolic distribution adequacy to model kurtosis and asymmetries in multivariate …
Persistent link: https://www.econbiz.de/10005124228
We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more general than the truncated Gram-Charlier expansions of Jondeau and Rockinger (2001), who impose parameter restrictions to ensure positivity....
Persistent link: https://www.econbiz.de/10005114173
Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to...
Persistent link: https://www.econbiz.de/10005504252
quantitatively consistent with documented empirical regularities on negative relationship between returns and skewness. Second, we …
Persistent link: https://www.econbiz.de/10011083236
present paper contributes to this literature by showing that skewness of individual firms’ return distributions has a … of skewness is linked to all three streams of literature devoted to explaining the Bowman paradox. …
Persistent link: https://www.econbiz.de/10005662014
by disclosing their own information first. These results have implications for conditional variance and skewness of stock …
Persistent link: https://www.econbiz.de/10005788970
Aggregate stock market returns display negative skewness. Firm-level stock returns display positive skewness. The large … skewness. I then show that cross-sectional heterogeneity in firm announcement events can lead to negative skewness in aggregate …
Persistent link: https://www.econbiz.de/10008553065
distribution, which has non-trivial skewness properties. I examine how conditional volatility, trading volume and skewness in stock … returns have positive skewness while market returns have negative skewness. …
Persistent link: https://www.econbiz.de/10008491716