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Testing CAPM with a Large Number of Assets

Pesaran, M. Hashem; Yamagata, Takashi - Institute for the Study of Labor (IZA) - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10010550527

Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets

Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - Institute for the Study of Labor (IZA) - 2011

By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...

Persistent link: https://www.econbiz.de/10009359859

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, Hashem - Institute for the Study of Labor (IZA) - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10008466034

The Impact of Differential Payroll Tax Subsidies on Minimum Wage Employment

Kramarz, Francis; Philippon, Thomas - Institute for the Study of Labor (IZA) - 2000

In this article, we study the impact of changes of total labor costs on employment of low-wage workers in France in a period, 1990 to 1998, that saw sudden and large changes in these costs. We use longitudinal data from the French Labor Force survey (« enquête emploi ») in order to understand...

Persistent link: https://www.econbiz.de/10005762187

Locus of Control and Savings

Cobb-Clark, Deborah A.; Kassenboehmer, Sonja C.; … - Institute for the Study of Labor (IZA) - 2013

This paper analyzes the relationship between individuals' locus of control and their savings behavior, i.e. wealth accumulation, savings rates, and portfolio choices. Locus of control is a psychological concept that captures individuals' beliefs about the controllability of life events and is a...

Persistent link: https://www.econbiz.de/10011156463

Is It Money or Brains? The Determinants of Intra-Family Decision Power

Bertocchi, Graziella; Brunetti, Marianna; Torricelli, … - Institute for the Study of Labor (IZA) - 2012

using a suitable direct measure provided in the 1989-2010 Bank of Italy Survey of Household Income and Wealth. Focusing on a … and total income and wealth, but more importantly that it increases with the difference between hers and her husband …'s characteristics in terms of age, education, and income. The main conclusion is that decision-making power over family economics is not …

Persistent link: https://www.econbiz.de/10011168622

The Impact of Health Insurance on Stockholding: A Regression Discontinuity Approach

Christelis, Dimitris; Georgarakos, Dimitris; … - Institute for the Study of Labor (IZA) - 2014

Using data from the US Health and Retirement Study, we study the causal effect of increased health insurance coverage through Medicare and the associated reduction in health-related background risk on financial risk-taking. Given the onset of Medicare at age 65, we identify our effect of...

Persistent link: https://www.econbiz.de/10011078405

Learning to Take Risks? The Effect of Education on Risk-Taking in Financial Markets

Black, Sandra E.; Devereux, Paul J.; Lundborg, Petter; … - Institute for the Study of Labor (IZA) - 2015

We investigate whether acquiring more education when young has long-term effects on risk-taking behavior in financial markets and whether the effects spill over to spouses and children. There is substantial evidence that more educated people are more likely to invest in the stock market....

Persistent link: https://www.econbiz.de/10011206862

To Own or Not to Own? Household Portfolios, Demographics and Institutions in a Cross-National Perspective

Sierminska, Eva; Doorley, Karina - Institute for the Study of Labor (IZA) - 2013

Using harmonized wealth data and a novel decomposition approach, we show that cohort effects exist in the income …' participation decisions in assets are more responsive to income than older households. Family structure plays a significant role in … helping secure adequate income for the elderly. Our results show that there is scope for policies which promote asset …

Persistent link: https://www.econbiz.de/10011188128

Circumstantial Risk: Impact of Future Tax Evasion and Labor Supply Opportunities on Risk Exposure

Doerrenberg, Philipp; Duncan, Denvil; Zeppenfeld, … - Institute for the Study of Labor (IZA) - 2014

identification issues using a laboratory experiment (N = 180). Subjects have the opportunity to invest earned income in a lottery and …

Persistent link: https://www.econbiz.de/10010884336