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dc.contributor.author
Galvao, Antonio F.
dc.contributor.author
Juhl, Ted
dc.contributor.author
Montes Rojas, Gabriel Victorio
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dc.contributor.author
de Olmos, Jose Severo Ramon
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dc.date.available
2018-07-16T17:53:51Z
dc.date.issued
2018-03
dc.identifier.citation
Galvao, Antonio F.; Juhl, Ted; Montes Rojas, Gabriel Victorio; de Olmos, Jose Severo Ramon; Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns; Oxford University Press; Journal of Financial Econometrics; 16; 2; 3-2018; 211-243
dc.identifier.issn
1479-8409
dc.identifier.uri
http://hdl.handle.net/11336/52225
dc.description.abstract
This article proposes tests for slope homogeneity across individuals in quantile regression fixed effects panel data models. The tests are based on the Swamy statistic. We establish the asymptotic null distribution of the tests under large panels. A prominent advantage of the proposed tests is that they are easy to implement in empirical applications. Monte Carlo experiments show evidence that the tests have good finite sample performance in terms of size and power. The tests are then applied to study the cross-section of firms' excess asset returns using financial data on U.S. firms. The tests allow us to assess, for a given quantile of the distribution of excess returns, whether the linear effect of the pricing factors in standard linear asset pricing models is the same across stocks. The results confirm the validity of those models for the mean and central quantiles. However, for tail quantiles, the slope homogeneity tests reject the null hypothesis providing empirical evidence of pricing anomalies. This suggests that the effect of firm characteristics on the distribution of excess returns is heterogeneous across stocks during booms and busts.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Oxford University Press
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dc.rights
info:eu-repo/semantics/openAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
Panel Data
dc.subject
Quantile Regression
dc.subject
Slope Homogeneity
dc.subject
Stock Returns
dc.subject.classification
Economía, Econometría
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dc.subject.classification
Economía y Negocios
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dc.subject.classification
CIENCIAS SOCIALES
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dc.title
Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2018-07-11T17:19:51Z
dc.journal.volume
16
dc.journal.number
2
dc.journal.pagination
211-243
dc.journal.pais
Reino Unido
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dc.journal.ciudad
Oxford
dc.description.fil
Fil: Galvao, Antonio F.. University of Iowa; Estados Unidos
dc.description.fil
Fil: Juhl, Ted. University of Kansas; Estados Unidos
dc.description.fil
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina. Universidad de San Andrés; Argentina
dc.description.fil
Fil: de Olmos, Jose Severo Ramon. University of Southampton; Reino Unido
dc.journal.title
Journal of Financial Econometrics
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://academic.oup.com/jfec/article/16/2/211/3798788
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1093/jjfinec/nbx016
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