Search results for "Econometric"

An empirical analysis of revenue drivers in the mobile app market

2013

Risk forecasting models and optimal portfolio selection

2005

This study analyses, from an investor's perspective, the performance of several risk forecasting models in obtaining optimal portfolios. The plausibility of the homoscedastic hypothesis implied in the classical Markowitz model is dicussed and more general models which take into account assymetry and time varying risk are analysed. Specifically, it studies whether ARCH-type based models obtain portfolios whose risk-adjusted returns exceed those of the classical Markowitz model. The same analysis is performed with models based on the Lower Partial Moment (LPM) which take into account the assymetry in the distribution of returns. The results suggest that none of the models achieve a clearly su…

Identifying Portfolio-Based Risk Factors in Foreign Exchange Markets

2018

This paper shows that a link between the conditional mean and conditional volatility of any factor-mimicking portfolio in the foreign exchange (FX) market must exist if the proposed portfolio-based currency factor is priced and the pricing kernel has a linear factor structure. Thereby, this paper tests whether the carry risk factor and currency momentum are priced risk factors. Surprisingly, the carry risk factor does not meet the necessary conditions consistent with being a priced risk factor, whereas currency momentum indeed meets those criteria. The findings also indicate that the relation between the conditional mean and conditional risk is moreover economically reasonable for the curre…

Return Dispersion and Cross-Sectional Asset Pricing Anomalies

2015

Recent research finds that cross-sectional return dispersion provides a risk-based explanation for some investment anomalies, including accrual, investment, and momentum strategies. This study extends the analyses of return dispersion to a broad set of anomalies by testing whether the state of return dispersion is associated with anomalous returns. Empirical results for 12 well-known anomalies indicate a robust link between good and bad states of return dispersion and most anomalies. Also, return dispersion helps to explain a number anomalies regardless of their association with investor sentiment. We conclude that market risk related to return dispersion plays an important role in many inv…

Trend following with momentum versus moving averages: a tale of differences

2020

Despite the ever-growing interest in trend following and a series of publications in academic journals, there is a dearth of theoretical results on the properties of trend-following rules. Our pape...

The analytic hierarchy process with stochastic judgements

2014

The analytic hierarchy process (AHP) is a widely-used method for multicriteria decision support based on the hierarchical decomposition of objectives, evaluation of preferences through pairwise comparisons, and a subsequent aggregation into global evaluations. The current paper integrates the AHP with stochastic multicriteria acceptability analysis (SMAA), an inverse-preference method, to allow the pairwise comparisons to be uncertain. A simulation experiment is used to assess how the consistency of judgements and the ability of the SMAA-AHP model to discern the best alternative deteriorates as uncertainty increases. Across a range of simulated problems results indicate that, according to c…

The Material Deprivation of Foreigners: Measurement and Determinants

2016

We examine the material deprivation of foreigners on a sub-sample of the 2009 Italian Survey on Income and Living Conditions carried out by Istat. We employ an index of material deprivation that takes into account the regional level of analysis, and relies on the assignment of weights to deprivation items. The effects produced on material deprivation by several variables, interpreted as determinants, are investigated through a zero-inflated beta regression model.

The relevance of educational poverty in Europe: Determinants and remedies

2021

Abstract This paper explores the degree of educational poverty in European countries using data from OECD Programme for International Student Assessment (PISA). This research adopts the class of additive multidimensional poverty measures proposed by Alkire & Foster (2011) and investigates the degree of educational poverty in terms of incidence, breadth, depth and severity. Also, we analyse the impact of students’ characteristics and school-level factors on the probability of being educational poor in various learning dimensions. The findings reveal that between 2006 and 2015 the incidence of educational poverty became more relevant in many European countries, while most of them experienced …

Heritabilities and paradigm shifts

1997

CORPORATE BANKRUPTCY AND INSOLVENCY PREDICTION MODEL

2021

In any competitive economy, the risk of bankruptcy is pervasive. The research aims to contribute in improving the predictive power of bankruptcy and insolvency risk among companies by introducing new methods of processing and validation. This paper investigates the extensive application of the Z score model for predicting the economic-financial stability of Romanian companies in the manufacturing and extractive industries. A list of 37 financial indicators determined on the basis of the balance sheet data of 80 companies for the period 2015–2018 was used. Stepwise Least Squares Estimation through the Forward method allowed the identification of the most relevant ones. Canonical discriminant…