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3 votes
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Question about CAPM Betas - Causes of Beta Movement Query

CAPM betas are measures of systematic risks, which include things like the exchange rate, inflation, interest rates, etc. What I'm confused about is described below: E.g. suppose I'm looking at one ...
Helper's user avatar
  • 31
3 votes
0 answers
168 views

A doubt about Evans and Jovanovic (1989) economic model for entrepreneurs with credit constraints

[I already posted this question on the math forum of stackexchange and I was advised that I should post this question here] In Evans and Jovanovic (1989) you will find a model for entrepreneurs with ...
John Doe's user avatar
  • 171
2 votes
0 answers
304 views

How to conduct an event-study for a single index (i.e the DJIA) with multiple events

I am a postgraduate student writing my thesis. I am somewhat a novice in the field I have chosen to study, however this has undoubtedly broadened my horizons. I am attempting to evaluate the impact of ...
David's user avatar
  • 21
2 votes
0 answers
58 views

Simulating Asset Prices by Independently Simulating Supply and Demand

If I have an asset, whose supply is generally mean-reverting and whose demand is generally cyclical, could I somehow simulate / project the supply and demand levels across multiple discrete time ...
Alex Ockenden's user avatar
1 vote
0 answers
53 views

Can I extend the private information model of Kyle in in a continuous analogue, e.g. the Ornstein–Uhlenbeck process?

Taking into account an old post of maths.stackexchange, I recall the following: On the one hand, we know that the Ornstein–Uhlenbeck process can also be considered as the continuous-time analogue of ...
Oliver Queen's user avatar
1 vote
1 answer
777 views

How to compare financial statements of two companies working in two different currencies?

So I am conducting a research on applying Data Envelopment Analysis (DEA) for comparing efficiencies of different companies working in different countries and thereby publishing their financial ...
Syed Askari's user avatar
1 vote
0 answers
47 views

Could you suggest a way to estimate an individual's risk-aversion

Did you see real-world examples of a way to estimate an individual's risk-aversion roughly by making mini-surveys to individuals or making them play mini-games? Do portfolio management companies do ...
xyzt's user avatar
  • 341
1 vote
0 answers
56 views

Measuring corporate size relative to world GDP

I'm working o a model where corporate revenue / world GDP is a dependent variable of some stuff (based on the model proposed in this paper: http://www.scielo.br/scielo.php?pid=S1807-76922009000200002&...
Delta's user avatar
  • 111
1 vote
0 answers
106 views

Autoregressive Distributed Lag Models (ARDL) results analysis

When using autoregressive distributed lag models (ARDL), I usually get a counter-intuitive result for the selected lag. For example, when examining the relationship between GDP and Foreign Direct ...
Nord1's user avatar
  • 53
1 vote
0 answers
99 views

How to Calculate the Value of a Growing Perpetuity Using a State Price Matrix?

Summary I wish to value perpetual cash flows through state contingent claims on real consumption, where the state of the economy is assumed to follow a finite markov chain (Similar to Banz and Miller ...
user33475's user avatar
  • 147
1 vote
0 answers
426 views

Comparing two models using Wald Test

I would like to use a Wald test to compare two models. To give a basic example, let: $Y_{t}=\alpha+{\phi_1x}_{t-1}+{\beta}_{1}x_{t-1}+{\beta}_{2}x_{t-1}+{\beta}_{3}x_{t-1}+\epsilon_t (A)$ $Y_{t}=\...
user22485's user avatar
  • 469
1 vote
0 answers
149 views

Elobaration on: Discrete returns versus log returns of assets

I read Discrete returns versus log returns of assets and it is very helpful. However, if log-returns are easier for time-aggregation, then why do economists work with discrete returns e.g. in GDP ...
user0009's user avatar
  • 111
1 vote
0 answers
217 views

Understanding Price Elasticities in Discrete Choice Models (Derivative)

I'am in the midst of a paper on mutual fund product differentiation by Li and Qiu. Here, the authors model the utility an investor derives from investing in a mutual fund using a Discrete Choice Model ...
Roberto Liebscher's user avatar
1 vote
0 answers
69 views

Questions related to the banking crisis during the European sovereign debt crisis

I am studying the European Sovereign Debt crisis and I have the following questions which I am struggling to find examples for: 1) I have heard that during the sovereign debt crisis, European ...
user11601's user avatar
1 vote
0 answers
35 views

Stability of Equilibrium in 2 good exchange economy

Hello I was wondering if someone could help me with the following question relating to the stability of an equilibrium in a two good exchange economy and the Walrasian auctioneer. The setting is the ...
user133993's user avatar
1 vote
0 answers
468 views

Quadratic utility function

May you can help me undertanding the following conclusion: Suppose we have an agent who has preferences over contingent claims, represented by a concave function $U$. This simply means that $\mathbb{E}...
Alkibiades's user avatar
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0 answers
24 views

Defining the terms "old interest" and "new interest" (across a variety of disciplines)

This is a bit of a vocabulary / concept tackle (these two, tackling each other). My question is about this. How would a financial analyst define and extrapolate and make the reader (or, user) envision,...
Joselin Jocklingson's user avatar
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0 answers
41 views

How does truncating data deal with long right tails of data? Why is a long right tail bad?

For reference, my coworker graphed the unemployment rate with an HP Filter on. He told me he truncated the data to 95% to deal with this issue but I'm not 100% sure what this means and why its ...
worldCurrencies's user avatar
0 votes
0 answers
59 views

Escape Dynamics in financial economics or time series

These slides describe escape dynamics to be a type of, or having some relation to, rare event(s). Black swan events in business cycles was also included under the definition of rare events. My guess ...
develarist's user avatar
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Effect of lowering benchmark interest rates

On recent days, Yen appreciated 30 bps towards USD "after the Central Bank lowered its interest rates by 50 bps". Can someone explain me the economic rationale of the appreciation after a central bank ...
FridaTheDog's user avatar