Similar Search Results

Dissecting characteristics nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2018 - This version: July 2018

We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10011888693

Dissecting characteristics nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2017 - This version: February 2017

We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10011619632

Green bond returns and the dynamics of green and conventional financial markets : an analysis using a Thick Pen

Gronwald, Marc; Wadud, Sania - 2025

This paper explores the relationship between green bond markets and both green and conventional financial markets, while also evaluating their effectiveness as a climate finance instrument. Using the Thick Pen Measure of Association - a visually interpretable tool for analysing co-movement...

Persistent link: https://www.econbiz.de/10015339840

On Bayesian filtering for markov regime switching models

Hashimzade, Nigar; Kirsanov, Oleg; Kirsanova, Tatiana; … - 2024

This paper presents a framework for empirical analysis of dynamic macroeconomic models using Bayesian filtering, with a specific focus on the state-space formulation of New Keynesian Dynamic Stochastic General Equilibrium (NK DSGE) models with multiple regimes. We outline the theoretical...

Persistent link: https://www.econbiz.de/10014470409

Why does idiosyncratic risk increase with market risk?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

Persistent link: https://www.econbiz.de/10011674278

Expectation dispersion, uncertainty, and the reaction to news

Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Persistent link: https://www.econbiz.de/10012404549

On the frequency of price overreactions

Caporale, Guglielmo Maria; Plastun, Alex - 2018

This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial Index over the period 1990-2017. It uses two different methods (static and dynamic) to detect overreactions and then carries out various statistical tests (both parametric and...

Persistent link: https://www.econbiz.de/10011844559

Changes in risk and asset prices

Schlesinger, Harris; Gollier, Christian - 2001

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

Persistent link: https://www.econbiz.de/10011398103

Monetary policy and wealth effects : the role of risk and heterogeneity

Caramp, Nicolas; Silva, Dejanir H. - 2024

-agents model with two main ingredients: i) rare disasters; ii) heterogeneous beliefs. The model captures time-varying risk premia …

Persistent link: https://www.econbiz.de/10014514921

Inference in structural vector autoregressions when the identifying assumptions are not fully believed : reevaluating the role of monetary policy in economic fluctuations

Baumeister, Christiane; Hamilton, James D. - 2018 - Revised May 3, 2018

Reporting point estimates and error bands for structural vector autoregressions that are only set identified is a very common practice. However, unless the researcher is persuaded on the basis of prior information that some parameter values are more plausible than others, this common practice...

Persistent link: https://www.econbiz.de/10011847554