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The Joint Cross Section of Stocks and Options

Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013

Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...

Persistent link: https://www.econbiz.de/10010951430

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - National Bureau of Economic Research (NBER) - 2013

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … covariance is measured across the left tail states of the individual stock return distribution, not across those of the market … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

Persistent link: https://www.econbiz.de/10010692203

U.S. Stock Market Crash Risk, 1926-2006

Bates, David S. - National Bureau of Economic Research (NBER) - 2009

This paper applies the Bates (RFS, 2006) methodology to the problem of estimating and filtering time- changed Lévy processes, using daily data on U.S. stock market excess returns over 1926-2006. In contrast to density-based filtration approaches, the methodology recursively updates the...

Persistent link: https://www.econbiz.de/10004992858

The Perils of Peer Effects

Angrist, Joshua - National Bureau of Economic Research (NBER) - 2013

Individual outcomes are highly correlated with group average outcomes, a fact often interpreted as a causal peer effect. Without covariates, however, outcome-on-outcome peer effects are vacuous, either unity or, if the average is defined as leave-out, determined by a generic intraclass...

Persistent link: https://www.econbiz.de/10011095625

The Evolution of the Black-White Test Score Gap in Grades K-3: The Fragility of Results

Lang, Kevin; Bond, Timothy N. - National Bureau of Economic Research (NBER) - 2012

Although both economists and psychometricians typically treat them as interval scales, test scores are reported using ordinal scales. Using the Early Childhood Longitudinal Study and the Children of the National Longitudinal Survey, we examine the effect of order-preserving scale transformations...

Persistent link: https://www.econbiz.de/10011188570

Adjusting Body Mass for Measurement Error with Invalid Validation Data

Courtemanche, Charles; Pinkston, Joshua C.; Stewart, Jay - National Bureau of Economic Research (NBER) - 2014

We propose a new method for using validation data to correct self-reported weight and height in surveys that do not measure respondents. The standard correction in prior research regresses actual measures on reported values using an external validation dataset, and then uses the estimated...

Persistent link: https://www.econbiz.de/10010821783

Race and the Politics of Close Elections

Vogl, Tom - National Bureau of Economic Research (NBER) - 2012

Elections between black and white candidates tend to involve close margins and high turnout. Using a novel dataset of municipal vote returns during the rise of black mayors in U.S. cities, this paper establishes new facts about turnout and competition in close interracial elections. In the...

Persistent link: https://www.econbiz.de/10010821897

Finite Population Causal Standard Errors

Abadie, Alberto; Athey, Susan; Imbens, Guido; … - National Bureau of Economic Research (NBER) - 2014

When a researcher estimates the parameters of a regression function using information on all 50 states in the United States, or information on all visits to a website, what is the interpretation of the standard errors? Researchers typically report standard errors that are designed to capture...

Persistent link: https://www.econbiz.de/10010821948

The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns

Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - National Bureau of Economic Research (NBER) - 2012

Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu and Yuan (2012), who find higher long-short...

Persistent link: https://www.econbiz.de/10010796695

The Data Revolution and Economic Analysis

Levin, Jonathan; Einav, Liran - National Bureau of Economic Research (NBER) - 2013

Many believe that "big data" will transform business, government and other aspects of the economy. In this article we discuss how new data may impact economic policy and economic research. Large-scale administrative datasets and proprietary private sector data can greatly improve the way we...

Persistent link: https://www.econbiz.de/10010969342