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How Prediction Markets Can Save Event Studies

Snowberg, Erik - 2011

This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions ﾖ from the economic effects of party control of...

Persistent link: https://www.econbiz.de/10013126921

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - 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/10013141228

Trading While Sleepy? Circadian Mismatch and Excess Volatility in a Global Experimental Asset Market

Dickinson, David L. - 2017

Traders in global markets operate at different local times-of-day. Suboptimal times-of-day may produce sleepiness due to daily variations in sleep/wake patterns and possibly also increased accumulation of hours awake. Global asset markets imply significantly increased heterogeneity in circadian...

Persistent link: https://www.econbiz.de/10012947730

Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets

Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2021

This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...

Persistent link: https://www.econbiz.de/10013314986

Volatility and Growth : Governments are Key

Jetter, Michael - 2013

paper offers a solution to this disagreement, suggesting that volatility carries a positive direct effect, but also a … volatility is then ambiguous. The paper reveals the underlying endogeneity of government size in a balanced panel of 95 countries … increase of volatility lowers growth by up to 0.57 percentage points in a democracy, but raises growth by 1.74 percentage …

Persistent link: https://www.econbiz.de/10013071293

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

Give Me Your Wired and Your Highly Skilled : Measuring the Impact of Immigration Policy on Employers and Shareholders

Lin, Carl - 2013

The paper links finance theory to labor economics and political economy in the context of migration and immigration policy. Most research treating the impact of immigration has focused on the consequences for employees as measured by wages, earnings, and employment. Less is known about the...

Persistent link: https://www.econbiz.de/10013092819

A Parametric Control Function Approach to Estimating the Returns to Schooling in the Absence of Exclusion Restrictions : An Application to the Nlsy

Farré, Lidia - 2010

variances, the non-parametric aspect of the estimation may discourage practitioners from its use. This paper outlines how the …

Persistent link: https://www.econbiz.de/10013141782

Estimating Heterogeneous Returns to Education in Germany Via Conditional Heteroskedasticity

Saniter, Nils Peter - 2012

In this paper I investigate the causal returns to education for different educational groups in Germany by employing a new method by Klein and Vella (2010) that bases identification on the presence of conditional heteroskedasticity. Compared to IV methods, key advantages of this approach are...

Persistent link: https://www.econbiz.de/10013099756

Google Econometrics and Unemployment Forecasting

Askitas, Nikos - 2012

The current economic crisis requires fast information to predict economic behavior early, which is difficult at times of structural changes. This paper suggests an innovative new method of using data on internet activity for that purpose. It demonstrates strong correlations between keyword...

Persistent link: https://www.econbiz.de/10013117001