Tanzania is well placed to receive a significant increase in aid inflows in coming years. Despite the potential for the additional aid inflows to raise income levels in the country, increasing them may bring about structural changes in the economy that may be unwelcome. One such change is an...

Generalized quantile regressions, including the conditional quantiles and expectiles as special cases, are useful alternatives to the conditional means for characterizing a conditional distribution, especially when the interest lies in the tails. We develop a functional data analysis approach to...

This paper constructs portfolios of stocks with superior investment performance relative to a general market index. Portfolios are formed with different levels of sensitivity to cross-sectional return dispersion among all stocks in the market. We find that, for U.S stock returns in the period...

This paper incorporates Jensen’s (1968) alpha (α) from different asset pricing models as an independent variable in Fama and MacBeth (1973) cross-sectional regression tests. Estimated alpha coefficients in time-series regression models capture total missing factor returns and therefore are...

A recent book by Kolari, Liu, and Huang (KLH) (2021) developed a new theoretical capital asset pricing model dubbed the ZCAPM, which outperformed well-known multifactor models in cross-sectional tests using U.S. stocks. This paper extends their analyses by employing a longer sample period from...

Generalized quantile regressions, including the conditional quantiles and expectiles as special cases, are useful alternatives to the conditional means for characterizing a conditional distribution, especially when the interest lies in the tails. We develop a functional data analysis approach to...