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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 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/10010282392

Testing CAPM with a Large Number of Assets

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

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

Risk, delegation, and project scope

Roider, Andreas - 2007

exogenous risk and delegation. That is, we show that only if exogenous risk is sufficiently large, the risk-neutral principal … may prefer to delegate authority over decisions to the risk-averse agent. Intuitively, for incentive reasons, the … principal may optimally want to allow the agent to reduce his risk exposure. Nevertheless, even endogenous risk may be higher …

Persistent link: https://www.econbiz.de/10010268503

The gender wage gap as a function of educational degree choices in an occupationally segregated EU country

Livanos, Ilias; Pouliakas, Konstantinos - 2009

in the type of degree studied can explain an additional 8.4% of the male-female pay gap. Risk-augmented earnings …

Persistent link: https://www.econbiz.de/10010269462

Heterogeneous life-cycle profiles, income risk and consumption inequality

Primiceri, Giorgio E.; van Rens, Thijs - 2007

Was the increase in income inequality in the US due to permanent shocks or merely to an increase in the variance of transitory shocks? The implications for consumption and welfare depend crucially on the answer to this question. We use CEX repeated cross-section data on consumption and income to...

Persistent link: https://www.econbiz.de/10010276396

Risk, institutions and growth: Why England and not China?

Greif, Avner; Iyigun, Murat; Sasson, Diego - 2011

We analyze the role of risk-sharing institutions in transitions to modern economies. Transitions requires individual …-level risk-taking in pursuing productivity-enhancing activities including using and developing new knowledge. Individual …-level, idiosyncratic risk implies that distinct risk-sharing institutions - even those providing the same level of insurance - can lead to …

Persistent link: https://www.econbiz.de/10010278525

Panel Unit Root Tests in the Presence of aMultifactor Error Structure

Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007

This paper extends the cross sectionally augmented panel unit root test proposed byPesaran (2007) to the case of a multifactor error structure. The basic idea is to exploitinformation regarding the unobserved factors that are shared by other time series in additionto the variable under...

Persistent link: https://www.econbiz.de/10005860582

Poverty Imputation in Contexts without Consumption Data: A Revisit with Further Refinements

Dang, Hai-Anh; Kilic, Talip; Abanokova, Kseniya; … - 2023

Household consumption data are often unavailable, not fully collected, or incomparable over time in poorer countries. Survey-to-survey imputation has been increasingly employed to address these data gaps for poverty measurement, but its effective use requires standardized protocols. We refine...

Persistent link: https://www.econbiz.de/10014296617

Rapid Economic Growth but Rising Poverty Segregation: Will Vietnam Meet the SDGs for Equitable Development?

Dang, Hai-Anh; Dhongde, Shatakshee; Do, Minh N.N.; … - 2023

Vietnam is widely regarded as a success story for its impressive economic growth and poverty reduction in the last few decades. Yet, recent evidence indicates that the country's economic growth has not been uniform. Compiling and analyzing new extensive province-level data from the Vietnam...

Persistent link: https://www.econbiz.de/10014296660

Recovering Income Distribution in the Presence of Interval-Censored Data

Canavire Bacarreza, Gustavo J.; Rios-Avila, Fernando; … - 2023

This paper proposes a method to analyze interval-censored data, using multiple imputation based on a heteroskedastic interval regression approach. The proposed model aims to obtain a synthetic data set that can be used for standard analysis, including standard linear regression, quantile...

Persistent link: https://www.econbiz.de/10014296665