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The empirical objective of this study is to account for the time-variation the covariances between markets. Using data on sixteen national stock markets, we estimate a multivariate factor model in which the volatility of returns is induced by changing volatility in the orthogonal factors. Excess...
Persistent link: https://www.econbiz.de/10005085390
The authors attempt to account for the covariances between stock markets and to assess their integration. They estimate a factor model for sixteen national stock market returns whose volatility is induced by changing volatility in the factors. Unanticipated returns depend on innovations in...
Persistent link: https://www.econbiz.de/10005332883
This paper attempts to explore whether lagged variables that help predict stock returns are merely proxying for mismeasured risk. Therefore, three different ways of measuring risk are employed (i.e., semiparametric, GARCH, and lagged squared returns). In an application to Japanese data, four key...
Persistent link: https://www.econbiz.de/10005167858
We compare the Sharpe rations of investment funds which combine one riskless and one risky asset following: i) timing strategies which forecast excess returns using simple regressions; ii) a strategy which uses multiple regression instead; and iii) a passive allocation which combines the funds in...
Persistent link: https://www.econbiz.de/10005102399
In this paper, I first provide a unifying approach to Mean-Variance analysis and Value at Risk, which highlights both their similarities and differences. Then I use it to explain how fund managers can take investment decisions within the well-known Mean-Variance allocation framework that satisfy...
Persistent link: https://www.econbiz.de/10005073788
Persistent link: https://www.econbiz.de/10005499483
This paper provides evidence based on U.K. firm-level data that: (1) the authors cannot reject the view that profit-sharing firms view the total level of remuneration as the marginal cost of labor, which is contrary to much of Weitzman's analysis; (2) there is some support for the popular view...
Persistent link: https://www.econbiz.de/10005392744
Persistent link: https://www.econbiz.de/10005393163
This paper investigates the relative importance of firm-specific factors (i.e., insider forces) in wage determination. Using firm-level data on 219 U.K. companies over 1974-82, it finds that a 1 percent rise in a firm's prices or productivity relative to the aggregate economy leads to a rise in...
Persistent link: https://www.econbiz.de/10005393293
This is the fourth article from members of the CLARE Group to appear in the Review. Future articles will normally appear about twice a year. The Review is pleased to give hospitality to the deliberations of the CLARE Group but is not necessarily in agreement with the views expressed. Members of...
Persistent link: https://www.econbiz.de/10010787210