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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

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

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

How prediction markets can save event studies

Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - 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 - from the economic effects of party control of government...

Persistent link: https://www.econbiz.de/10010278809

Prediction markets for economic forecasting

Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - 2012

Prediction markets - markets used to forecast future events - have been used to accurately forecast the outcome of political contests, sporting events, and, occasionally, economic outcomes. This chapter summarizes the latest research on prediction markets in order to further their utilization by...

Persistent link: https://www.econbiz.de/10010287666

Labor and the Market Value of the Firm

Merz, Monika; Yashiv, Eran - 2003

essential to account for market volatility. A key result is that firms? value embodies the value of hiring and investment over …

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

Less myth, more measurement: Decomposing excess returns from the 1989 minimum wage hike

Lin, Carl - 2012

In the book Myth and Measurement, Card and Krueger (1995) examine the economic impact of the 1989 minimum wage hike on the welfare of 110 firms which employ a disproportionate number of minimum-wage workers. Their results show mixed evidence that excess returns associated with news about the...

Persistent link: https://www.econbiz.de/10010282630

Decomposing excess returns in stochastic linear models

Lin, Carl - 2011

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/10010286879

To see is to believe: Common expectations in experimental asset markets

Cheung, Stephen L.; Hedegaard, Morten; Palan, Stefan - 2012

We challenge the recent claim that mispricing in the experimental asset markets introduced by Smith, Suchanek, and Williams (1988) is merely an artefact of confusion over declining fundamental value, and can be eliminated through appropriate training. We instead propose that when training is...

Persistent link: https://www.econbiz.de/10010289899

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …

Persistent link: https://www.econbiz.de/10010276254