Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model
Expanding the panel model of Pesaran (2006) and Bai (2009), we propose a dynamic panel specification with Bayesian approach to capture the impact of unobservable industry-wide shocks to stock price movements. We employ fundamental accounting information to control company specific shocks and equity market index to capture market wide common shocks. Our model is designed to resolve the potential multicollinearity problem that is known to exist when the industry factors are considered by extracting the industry-wide shocks using Bayesian method.
|Date of creation:||01 Mar 2014|
|Contact details of provider:|| Postal: PO Box 123, Broadway, NSW 2007, Australia|
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Web page: http://www.qfrc.uts.edu.au/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- F. Moscone & E. Tosetti, 2010.
"Health expenditure and income in the United States,"
John Wiley & Sons, Ltd., vol. 19(12), pages 1385-1403, December.
- Elisa Tosetti & Francesco Moscone, 2007. "Health Expenditure and Income in the United States," Discussion Papers in Economics 07/14, Department of Economics, University of Leicester.
- Joshua C.C. Chan & Roberto Leon-Gonzalez & Rodney W. Strachan, 2013. "Invariant Inference and Efficient Computation in the Static Factor Model," CAMA Working Papers 2013-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chen, Long, 2009. "On the reversal of return and dividend growth predictability: A tale of two periods," Journal of Financial Economics, Elsevier, vol. 92(1), pages 128-151, April.
- Geweke, John & Zhou, Guofu, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 557-587.
- John F. Geweke & Guofu Zhou, 1995. "Measuring the pricing error of the arbitrage pricing theory," Staff Report 189, Federal Reserve Bank of Minneapolis.
- John Geweke & Guofu Zhou, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," CEMA Working Papers 276, China Economics and Management Academy, Central University of Finance and Economics.
- JULES H. van BINSBERGEN & RALPH S. J. KOIJEN, 2010. "Predictive Regressions: A Present-Value Approach," Journal of Finance, American Finance Association, vol. 65(4), pages 1439-1471, 08.
- Jules H. van Binsbergen & Ralph S.J. Koijen, 2010. "Predictive Regressions: A Present-value Approach," NBER Working Papers 16263, National Bureau of Economic Research, Inc.
- Clement, Michael B. & Hales, Jeffrey & Xue, Yanfeng, 2011. "Understanding analysts' use of stock returns and other analysts' revisions when forecasting earnings," Journal of Accounting and Economics, Elsevier, vol. 51(3), pages 279-299, April.
- Chen, Peter & Zhang, Guochang, 2007. "How do accounting variables explain stock price movements? Theory and evidence," Journal of Accounting and Economics, Elsevier, vol. 43(2-3), pages 219-244, July.
- repec:bla:joares:v:38:y:2000:i:2:p:271-295 is not listed on IDEAS
- Larrain, Borja & Yogo, Motohiro, 2008. "Does firm value move too much to be justified by subsequent changes in cash flow," Journal of Financial Economics, Elsevier, vol. 87(1), pages 200-226, January.
- Borja Larrain & Motohiro Yogo, 2005. "Does firm value move too much to be justified by subsequent changes in cash flow?," Working Papers 05-18, Federal Reserve Bank of Boston.
- Borja Larrain & Motohiro Yogo, 2007. "Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?," NBER Working Papers 12847, National Bureau of Economic Research, Inc.
- Chen, Jia & Gao, Jiti & Li, Degui, 2012. "Semiparametric trending panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 171(1), pages 71-85.
- Jia Chen & Jiti Gao & Degui Li, 2010. "Semiparametric Trending Panel Data Models with Cross-Sectional Dependence," School of Economics Working Papers 2010-10, University of Adelaide, School of Economics.
- Jia Chen & Jiti Gao & Degui Li, 2011. "Semiparametric Trending Panel Data Models with Cross-Sectional Dependence," Monash Econometrics and Business Statistics Working Papers 15/11, Monash University, Department of Econometrics and Business Statistics.
- Ahn, Seung C. & Lee, Young H. & Schmidt, Peter, 2013. "Panel data models with multiple time-varying individual effects," Journal of Econometrics, Elsevier, vol. 174(1), pages 1-14.
- Seung C. Ahn & Young H. Lee & Peter Schmidt, 2007. "Panel Data Models with Multiple Time-Varying Individual Effects," Working Papers 0702, University of Crete, Department of Economics.
- M. Hashem Pesaran, 2006. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," Econometrica, Econometric Society, vol. 74(4), pages 967-1012, 07.
- M. Hashem Pesaran, 2004. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," CESifo Working Paper Series 1331, CESifo Group Munich.
- Harford, Jarrad, 2005. "What drives merger waves?," Journal of Financial Economics, Elsevier, vol. 77(3), pages 529-560, September.
- Jushan Bai, 2009. "Panel Data Models With Interactive Fixed Effects," Econometrica, Econometric Society, vol. 77(4), pages 1229-1279, 07.
- Lessard, Donald R, 1974. "World, National, and Industry Factors in Equity Returns," Journal of Finance, American Finance Association, vol. 29(2), pages 379-391, May. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:uts:rpaper:347. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford)
If references are entirely missing, you can add them using this form.