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We apply a new econometric method -- the generalized method of moments under a common shock -- to estimate idiosyncratic volatility premium and average idiosyncratic stock volatility. In contrast to the popular two-pass estimation approach of Fama and MacBeth (1973), the method requires using...
Persistent link: https://www.econbiz.de/10010535241
This paper proposes a new approach to estimate the idiosyncratic volatility premium. In contrast to the popular two-pass regression method, this approach relies on a novel GMM-type estimation procedure that uses only a single cross-section of return observations to obtain consistent estimates....
Persistent link: https://www.econbiz.de/10011143828
We investigate empirical properties of idiosyncratic volatility using cross-sections of stock returns in the standard framework of geometric Brownian motion price dynamics. Knowledge of the sign and magnitude of idiosyncratic volatility characteristics may help us better understand the role of...
Persistent link: https://www.econbiz.de/10009643014
A GMM estimation approach is developed for a stylized cross-sectional model with a non-localized common data shock. Common shocks are often encountered in economics and finance. Thus, their implications for estimation are of substantial interest. Other researchers investigated properties of OLS...
Persistent link: https://www.econbiz.de/10010635583
Theoretical research on option valuation tends to focus on pricing the plain-vanilla European-style derivatives. Duffie, Pan, and Singleton (Econometrica, 2000) have recently developed a general transform method to determine the value of European options for a broad class of the underlying price...
Persistent link: https://www.econbiz.de/10005537480
We investigate factors affecting the duration of eating and food preparation among adults in single decision-maker households. Eating time is differentiated into primary and secondary eating time and further differentiated by location: at home vs. away from home. We construct a simple...
Persistent link: https://www.econbiz.de/10011165558
We investigate the effectiveness of initiating deposit insurance at the outset of a banking crisis. Using a conjoint analysis approach that allows us to consider the simultaneous impact of multiple deposit insurance attributes and various counterfactuals, we ask a multinational sample of...
Persistent link: https://www.econbiz.de/10011207368
We investigate the effects of parents, best friends, and relative prices on fruit and vegetable consumption by African American youths using behavioral data from the Family and Community Health Study and area-specific food prices from the Quarterly Food-at-Home Price Database. We construct a...
Persistent link: https://www.econbiz.de/10010735071
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Persistent link: https://www.econbiz.de/10010916324