THE PERFORMANCE OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS: A MONTE CARLO STUDY WITH AN APPLICATION TO THE THREE-FACTOR FAMA-FRENCH ASSET PRICING MODEL Surajit Ray and N. E. Savin a Bear Stearns Asset Management, 60 East 42nd Street, Suite 2544, New York, NY 10165 Department of Economics, Tippie College of Business, University of Iowa, 108 John Pappajohn Bus. Bldg., Iowa City, IA 52...

We specify and analyze two variants of oor acquisition multiple access protocols for single-channel wireless LANs (WLANs) with hidden terminals. One variant assumes that all stations have the same functionality, and the other assumes base-station control. These are the rst protocols that solve the hidden-terminal problems of single-channel WLANS. Stations use carrier sensing and a three-way han...

We decompose UK market volatility into shortand long-run components using EGARCH component model and examine the cross-sectional prices of the two components. Our empirical results suggest that these two components are significantly priced in the cross-section and the negative risk premia are consistent with the existing literature. The Fama-French three-factor model is improved by the inclusio...

This paper studies the link between the main sources of fundamental risk and asset returns by using the common components of a large number of macroeconomic time series variables as factors in a pricing model. A three-factor model with two common components and the market return as factors is found to explain the crosssection of size and book-to-market sorted stock portfolios better than standa...

We show that decomposing macroeconomic risks across horizon is key to uncover a tight link between risk premia and the real economy. Exposure in four-year returns to innovations in macroeconomic growth and volatility with a matching half-life of over four years is priced in a wide variety of test assets. Shorter-term risks are not priced. Importantly, we show that long-term growth and volatilit...

The Computer Anxiety Rating Scale and the Computer Thoughts Survey were administered to 661 students enrolled on undergraduate programmes in five different universities. A covariance matrix and an asymptotic weight matrix for each scale were computed from the sample data using PRELIS2. Two factor models were specified and estimated by maximum likelihood using LISREL8. The results revealed that ...

OBJECTIVE To undertake a meta-synthesis of the literature on the main concepts and practices related to permanent education in health. METHODS A bibliographical search was conducted for original articles in the PubMed, Web of Science, LILACS, IBECS and SciELO databases, using the following search terms: "public health professional education", "permanent education", "continuing education", "pe...

This paper addresses the problem of hedging a portfolio of fixed-income cashflows. We first briefly review the traditional duration hedging method, which is heavily used by practitioners. That approach is based on a series of very restrictive and simplistic assumptions, including the assumptions of a small and parallel shift in the yield curve. We know however that large variations can affect t...

Generating one-month-ahead systematic (beta) risk forecasts is common place in financial management. This paper evaluates the accuracy of these beta forecasts in three return measurement settings; monthly, daily and 30 minutes. It is found that the popular Fama-MacBeth beta from 5 years of monthly returns generates the most accurate beta forecast among estimators based on monthly returns. A rea...

I examine determinants of stochastic relative risk aversion in conditional asset pricing models. I first develop time-series specification tests with nonlinear state-space models with heteroskedasticity based on Merton (1973)’s ICAPM. I then established the following facts. First, the surplus consumption ratio implied by the external habit formation model is the most important determinant of re...