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Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - 2010

considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical …

Persistent link: https://www.econbiz.de/10013141228

Testing CAPM with a Large Number of Assets

Pesaran, M. Hashem - 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/10013107698

Decomposing Excess Returns in Stochastic Linear Models

Lin, Carl - 2012

We present a theorem helpful in estimating the mean and variance of a linear function with arbitrary multivariate randomness in its coefficients and variables. We derive a generalized decomposition result from two random linear functions in which the result can be applied to most models using...

Persistent link: https://www.econbiz.de/10013113072

Risk Sharing Within and Outside the Firm : The Disparate Effects of Wrongful Discharge Laws on Expected Stock Returns

Mahlstedt, Robert; Weber, Rüdiger - 2021

We study the interrelation between two types of risk sharing -- within the firm and on capital markets -- by analyzing … the effect of wrongful-discharge laws (WDLs) on stock returns. Consistent with rational, risk-based pricing, the effect on … returns is linked to how shareholders and workers share systematic risk via distinct channels of employment and wage …

Persistent link: https://www.econbiz.de/10013246408

Risk Sharing within and Outside the Firm : The Disparate Effects of Wrongful Discharge Laws on Expected Stock Returns

Mahlstedt, Robert; Weber, Rüdiger - 2021

on the exact design of the law. Consistent with rational, risk-based pricing, the effect on returns seems to be linked to … how firms share systematic risk with their employees under the respective laws. Firms in states with WDLs prohibiting … employers from acting in bad faith have more intra-firm risk sharing and lower expected returns. Vaguer legislation that …

Persistent link: https://www.econbiz.de/10013314816

Debt Portfolios

Hintermaier, Thomas - 2011

We provide a model with endogenous portfolios of secured and unsecured household debt. Secured debt is collateralized by owner-occupied housing whereas unsecured debt can be discharged according to bankruptcy regulations. We show that the calibrated model matches important quantitative...

Persistent link: https://www.econbiz.de/10013126139

Portfolio Allocation, Income Uncertainty and Households' Flight from Risk

Brown, Sarah - 2016

households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a … risk, and is unique in recovering for, any given risky asset class, the shares that are reallocated to a safer asset … category. Background risk exerts a significant impact on household portfolios, resulting in a 'flight from risk', away from …

Persistent link: https://www.econbiz.de/10012977335

Public and Private Insurance with Costly Transactions

Bertola, Giuseppe - 2010

We characterize how public insurance schemes are constrained by hidden financial transactions. When non-exclusive private insurance entails increasing unit transaction costs, public transfers are only partly offset by hidden private transactions, and can influence consumption allocation. We show...

Persistent link: https://www.econbiz.de/10013137517

Trade as a Wage Disciplining Device

Persyn, Damiaan - 2021

We estimate how trade openness affects the relationship between wages, labour productivity and foreign wages using sector-level time series for several EU member states. In some countries wages became less responsive to foreign wages as trade costs declined. We show this counter-intuitive result...

Persistent link: https://www.econbiz.de/10013324883

Leader Networks and Transaction Costs : A Chinese Experiment in Interjurisdictional Contracting

Chau, Nancy H. - 2016

Do leader networks promote efficient intergovernmental contracts? We examine a groundbreaking policy in China where subprovincial governments freely traded land conversion quotas, and investigate the role of leader networks on the boundary between jurisdictions that embrace trade versus autarky....

Persistent link: https://www.econbiz.de/10013001319