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We propose regression-based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross-sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...
Persistent link: https://www.econbiz.de/10013068063
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...
Persistent link: https://www.econbiz.de/10011523775
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
The Capital Asset Pricing Model (henceforth, CAPM) is considered an extensively usedtechnique to approximate asset … pricing in the field of finance. The CAPM holds thepower to explicate stock movements by means of its sole factor that is beta …
Persistent link: https://www.econbiz.de/10013313192
nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm …
Persistent link: https://www.econbiz.de/10014333333
We provide an overview of recent empirical research on patterns of cross-country growth. The new empirical regularities considered differ from earlier ones, e.g., the well-known Kaldor stylized facts. The new research no longer makes production function accounting a central part of the analysis....
Persistent link: https://www.econbiz.de/10014024246
It is common practice to estimate the volatility-growth link by specifying a standard growth equation such that the variance of the error term appears as an explanatory variable in this growth equation. The variance in turn is modelled by a second equation. Hardly any of existing applications of...
Persistent link: https://www.econbiz.de/10010341161
The influential economic theory of intergenerational transfers predicts a negative connection between credit constraints and intergenerational mobility of consumption. Existing work has used bequest receipt to signal a parent's access to credit markets when investing in his children's human...
Persistent link: https://www.econbiz.de/10013028224
I papiret undersøges anvendeligheden af en ikke-parametrisk metode, en såkaldt regression spline, til estimation af …
Persistent link: https://www.econbiz.de/10011696531
In this paper we use the covariate quantile autoregression approach to test whether consumption is a constant unit root process, as predicted by the permanent income hypothesis (PIH). We find evidence that at low quantiles of the conditional quantile function of consumption the persistence of...
Persistent link: https://www.econbiz.de/10013136961