Capturing the Impact of Unobserved Sector-Wide Shocks on Stock Returns with Panel Data Model
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hong, Kihoon Jimmy | - |
dc.contributor.author | Peng, Bin | - |
dc.contributor.author | Zhang, Xiaohui | - |
dc.date.available | 2021-03-17T10:42:38Z | - |
dc.date.created | 2021-02-26 | - |
dc.date.issued | 2015-12 | - |
dc.identifier.issn | 0013-0249 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/hongik/handle/2020.sw.hongik/13626 | - |
dc.description.abstract | Unobserved sector-wide common shocks cause the issue of cross-sectional dependence (CSD) in panel data modelling of stock returns. In this study we apply two econometric techniques: the seemingly unrelated regression approach and a Bayesian estimator for panel data models with factor structural errors, to allow for CSD within a particular sector. By applying these models to monthly stock returns of S&P100 companies from six sectors over 10years, we can capture and measure the heterogeneous impacts of not only observed individual company accounting fundamentals and market-wide common shocks, but also unobservable sector-wide common shocks. Results from the empirical study show that the impacts from both observed factors and unobserved sector-wide common shocks vary markedly across companies. After controlling for observed accounting fundamentals and market-wide common factors, a considerable proportion of the variation in stock returns can be attributed to unobservable sector-wide common shocks. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | WILEY | - |
dc.subject | ERROR | - |
dc.title | Capturing the Impact of Unobserved Sector-Wide Shocks on Stock Returns with Panel Data Model | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Hong, Kihoon Jimmy | - |
dc.identifier.doi | 10.1111/1475-4932.12208 | - |
dc.identifier.scopusid | 2-s2.0-84949323280 | - |
dc.identifier.wosid | 000366056500005 | - |
dc.identifier.bibliographicCitation | ECONOMIC RECORD, v.91, no.295, pp.495 - 508 | - |
dc.relation.isPartOf | ECONOMIC RECORD | - |
dc.citation.title | ECONOMIC RECORD | - |
dc.citation.volume | 91 | - |
dc.citation.number | 295 | - |
dc.citation.startPage | 495 | - |
dc.citation.endPage | 508 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordPlus | ERROR | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
94, Wausan-ro, Mapo-gu, Seoul, 04066, Korea02-320-1314
COPYRIGHT 2020 HONGIK UNIVERSITY. ALL RIGHTS RESERVED.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.