Open Access. Powered by Scholars. Published by Universities.®
Physical Sciences and Mathematics Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Institution
- File Type
Articles 1 - 5 of 5
Full-Text Articles in Physical Sciences and Mathematics
Asimmetria Del Rischio Sistematico Dei Titolo Immobiliari Americani: Nuove Evidenze Econometriche, Paola De Santis, Carlo Drago
Asimmetria Del Rischio Sistematico Dei Titolo Immobiliari Americani: Nuove Evidenze Econometriche, Paola De Santis, Carlo Drago
Carlo Drago
In questo lavoro riscontriamo un aumento del rischio sistematico dei titoli del mercato immobiliare americano nell’anno 2007 seguito da un ritorno ai valori iniziali nell’anno 2009 e si evidenzia la possibile presenza di break strutturali. Per valutare il suddetto rischio sistematico è stato scelto il modello a tre fattori di Fama e French ed è stata studiata la relazione tra l’extra rendimento dell’indice REIT, utilizzato come proxy dell’andamento dei titoli immobiliari americani, e l’extra rendimento dell’indice S&P500 rappresentativo del rendimento del portafoglio di mercato. I risultati confermano la presenza di un “Asymmetric REIT Beta Puzzle” coerentemente con alcuni precedenti studi …
Time Series, Unit Roots, And Cointegration: An Introduction, Lonnie K. Stevans
Time Series, Unit Roots, And Cointegration: An Introduction, Lonnie K. Stevans
Lonnie K. Stevans
The econometric literature on unit roots took off after the publication of the paper by Nelson and Plosser (1982) that argued that most macroeconomic series have unit roots and that this is important for the analysis of macroeconomic policy. Yule (1926) suggested that regressions based on trending time series data can be spurious. This problem of spurious correlation was further pursued by Granger and Newbold (1974) and this also led to the development of the concept of cointegration (lack of cointegration implies spurious regression). The pathbreaking paper by Granger (1981), first presented at a conference at the University of Florida …
Men In Black: The Impact Of New Contracts On Football Referees’ Performances, Babatunde Buraimo, Alex Bryson, Rob Simmons
Men In Black: The Impact Of New Contracts On Football Referees’ Performances, Babatunde Buraimo, Alex Bryson, Rob Simmons
Dr Babatunde Buraimo
No abstract provided.
Participation And Engagement In Sport: A Double Hurdle Approach For The United Kingdom, Babatunde Buraimo, Brad Humphreys, Rob Simmons
Participation And Engagement In Sport: A Double Hurdle Approach For The United Kingdom, Babatunde Buraimo, Brad Humphreys, Rob Simmons
Dr Babatunde Buraimo
This paper uses pooled cross-section data from four waves of the United Kingdom’s Taking Part Survey, 2005 to 2009, in order to investigate determinants of probability of participation and levels of engagement in sports. The two rival modelling approaches considered here are the double-hurdle approach and the Heckman sample selection model. The Heckman model proves to be deficient in several key respects. The double-hurdle approach offers more reliable estimates than the Heckman sample selection model, at least for this particular survey. The distinction is more than just statistical nuance as there are substantive differences in qualitative results from the two …
Gone In 60 Seconds: The Absorption Of News In A High-Frequency Betting Market, Babatunde Buraimo, David Peel, Rob Simmons
Gone In 60 Seconds: The Absorption Of News In A High-Frequency Betting Market, Babatunde Buraimo, David Peel, Rob Simmons
Dr Babatunde Buraimo
This paper tests for efficiency in a betting market that offers high-frequency data, the Betfair betting exchange for wagering on outcomes of English Premier League soccer matches. We find clear evidence of rapid adjustment of prices to large disturbances (news). Full adjustment takes place within a one minute interval after the news. This suggests that this particular wagering market is not just efficient at pre-match prices but is also efficient in the face of events within games.