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Now showing items 61-64 of 64
An Alternative View of the US Price-Dividend Ratio Dynamics
(2014-12)
As a necessary condition for the validity of the present value model, the price-dividend ratio must be stationary. However, significant market episodes seem to provide
evidence of prices significantly drifting apart from ...
Conditional beta pricing models: A nonparametric approach
(2010)
We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). First, conditional covariances ...
The Relevance of Relative Position in Ultimatum Games
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2014)
This paper investigates the effect of focal points and initial relative position
in the outcome of a bargaining process. We conduct two on-line experiments.
In the first experiment we attempt to replicate Güth, Huck and ...
Time-Varying Beta Estimators in the Mexican Emerging Market
(2011)
This paper compares the performance of three different time-varying betas that have never
previously been compared: the rolling OLS estimator, a nonparametric estimator and an
estimator based on GARCH models. The study ...