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Predictability of asset returns and the efficient market hypothesis

Pesaran, Mohammad 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/10010276268

Testing CAPM with a large number of assets

Pesaran, Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative …

Persistent link: https://www.econbiz.de/10010282392

Identification and estimation of causal mechanisms and net effects of a treatment under unconfoundedness

Flores, Carlos A.; Flores-Lagunes, Alfonso - 2009

An important goal when analyzing the causal effect of a treatment on an outcome is to understand the mechanisms through which the treatment causally works. We define a causal mechanism effect of a treatment and the causal effect net of that mechanism using the potential outcomes framework. These...

Persistent link: https://www.econbiz.de/10010269294

Quantile treatment effects in the regression discontinuity design: Process results and gini coefficient

Frölich, Markus; Melly, Blaise - 2010

This paper shows nonparametric identification of quantile treatment effects (QTE) in the regression discontinuity design. The distributional impacts of social programs such as welfare, education, training programs and unemployment insurance are of large interest to economists. QTE are an...

Persistent link: https://www.econbiz.de/10010269846

A control function approach to estimating dynamic probit models with endogenous regressors, with an application to the study of poverty persistence in China

Giles, John T.; Murtazashvili, Irina - 2012

This paper proposes a parametric approach to estimating a dynamic binary response panel data model that allows for endogenous contemporaneous regressors. Such a model is of particular value for settings in which one wants to estimate the effects of an endogenous treatment on a binary outcome. In...

Persistent link: https://www.econbiz.de/10010289957

Labor and the Market Value of the Firm

Merz, Monika; Yashiv, Eran - 2003

What role does labor play in firms? market value? We explore this question using a production-based asset pricing model with frictions in the adjustment of both capital and labor. We posit that hiring of labor is akin to investment in capital and that the two interact, with the interaction being...

Persistent link: https://www.econbiz.de/10010261658

Predictability of Asset Returns and the Efficient Market Hypothesis

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

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

Synthetic Difference-in-Differences Estimation

Clarke, Damian; Pailañir, Daniel; Athey, Susan; … - 2023

units are available over time. We lay out the theory underlying SDID, both when there is a single treatment adoption date … and when adoption is staggered over time, and discuss estimation and inference in each of these cases. We introduce the … sdid command which implements these methods in Stata, and provide a number of examples of use, discussing estimation …

Persistent link: https://www.econbiz.de/10014296651

Implementing the Panel Event Study

Clarke, Damian; Schythe, Kathya Tapia - 2020

practical considerations for its estimation. We describe a Stata command eventdd that allows for simple estimation, inference …

Persistent link: https://www.econbiz.de/10012270202

The effect of disability on labour market outcomes in Germany : evidence from matching

Lechner, Michael; Vazquez-Alvarez, Rosalia - 2003

improving the identification and estimation strategy. Using the German Socio Economic Panel (1984-2001) we estimate the impact …

Persistent link: https://www.econbiz.de/10010261660