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Displaying results 1 to 5 of 5.

  1. Time-varying effects of housing attributes and economic environment on housing price
    Author: Friedrich, Marina; Lin, Yicong; Ramdaras, Pavitram; Telg, Sean; Sluis, Bernhard van der
    Published: [2023]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    We propose a flexible framework that allows for the relationship between housing prices and their determinants to vary over time. Our model incorporates housing-specific characteristics and macroeconomic variables, while accounting for a gradual... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432
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    No inter-library loan

     

    We propose a flexible framework that allows for the relationship between housing prices and their determinants to vary over time. Our model incorporates housing-specific characteristics and macroeconomic variables, while accounting for a gradual global trend that reflects the unobserved external environment. We estimate the trend and coefficient curves by local linear estimation and propose a bootstrap procedure for conducting inference. By employing monthly data from the Dutch housing market, covering 60 municipalities from 2006 to 2020, the proposed models show the capability to accurately describe the comovements of housing prices. Our results show strong statistical evidence of time variation in the effects of housing attributes and macroeconomic variables on prices throughout the entire sample period, revealing that the unemployment rate plays a crucial role between approximately 2012 and 2017. The extracted latent global trend reveals a significant influence of the economic environment and takes the shape of a leading indicator of the property market index. Moreover, we find that both the housing characteristics and the external environment explain comparably high proportions of the variation in housing prices, which stresses the importance of including both components in empirical analyses.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/273850
    Series: Array ; TI 2023, 039
    Subjects: housing prices; time-varying panels; nonparametric estimation; autoregressive wild bootstrap; simultaneous bands
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  2. Nonparametric estimation of sponsored search auctions and impacts of ad quality on search revenue
    Author: Kim, Dongwoo; Pal, Pallavi
    Published: [2023]
    Publisher:  Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]

    This paper presents an empirical model of sponsored search auctions in which advertisers are ranked by bid and ad quality. We introduce a new nonparametric estimator for the advertiser's ad value and its distribution under the 'incomplete... more

    Access:
    Verlag (kostenfrei)
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    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 243
    Inter-library loan:
    No inter-library loan

     

    This paper presents an empirical model of sponsored search auctions in which advertisers are ranked by bid and ad quality. We introduce a new nonparametric estimator for the advertiser's ad value and its distribution under the 'incomplete information' assumption. The ad value is characterized by a tractable analytical solution given observed auction parameters. Using Yahoo! search auction data, we estimate value distributions and study the bidding behavior across product categories. We find that advertisers shade their bids more when facing less competition. We also conduct counterfactual analysis to evaluate the impact of score squashing (ad quality raised to power θ < 1) on the auctioneer's revenue. Our results show that product-specific score squashing can enhance auctioneer revenue at the expense of advertiser profit and consumer welfare.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284129
    Series: Cemmap working paper ; CWP23, 05
    Subjects: Sponsored search links; generalized second price auction; incomplete information; nonparametric estimation; bid shading; score squashing
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  3. Nonparametric estimation of sponsored search auctions and impacts of AD quality on search revenue
    Author: Kim, Dongwoo; Pal, Pallavi
    Published: March 2023
    Publisher:  CESifo, Munich, Germany

    This paper presents an empirical model of sponsored search auctions in which advertisers are ranked by bid and ad quality. We introduce a new nonparametric estimator for the advertiser's ad value and its distribution under the 'incomplete... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63
    Inter-library loan:
    No inter-library loan

     

    This paper presents an empirical model of sponsored search auctions in which advertisers are ranked by bid and ad quality. We introduce a new nonparametric estimator for the advertiser's ad value and its distribution under the 'incomplete information' assumption. The ad value is characterized by a tractable analytical solution given observed auction parameters. Using Yahoo! search auction data, we estimate value distributions and study the bidding behavior across product categories. We find that advertisers shade their bids more when facing less competition. We also conduct counterfactual analysis to evaluate the impact of score squashing (ad quality raised to power θ < 1) on the auctioneer's revenue. Our results show that product-specific score squashing can enhance auctioneer revenue at the expense of advertiser profit and consumer welfare.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/271956
    Series: CESifo working papers ; 10312 (2023)
    Subjects: sponsored search links; generalized second price auction; incomplete information; nonparametric estimation; bid shading; score quashing
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  4. Beta-sorted portfolios
    Author: Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining
    Published: [2023]
    Publisher:  Federal Reserve Bank of New York, [New York, NY]

    Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of... more

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    Verlag (kostenfrei)
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    Verlag (kostenfrei)
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 207
    Inter-library loan:
    No inter-library loan

     

    Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to comparable procedures such as two-pass regressions. We formally investigate the properties of beta-sorted portfolio returns by casting the procedure as a two-step nonparametric estimator with a nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm with precise economic and statistical assumptions on the general data generating process. We provide conditions that ensure consistency and asymptotic normality along with new uniform inference procedures allowing for uncertainty quantification and general hypothesis testing for financial applications. We show that the rate of convergence of the estimator is non-uniform and depends on the beta value of interest. We also show that the widely used Fama-MacBeth variance estimator is asymptotically valid but is conservative in general and can be very conservative in empirically relevant settings. We propose a new variance estimator, which is always consistent and provide an empirical implementation which produces valid inference. In our empirical application we introduce a novel risk factor - a measure of the business credit cycle - and show that it is strongly predictive of both the cross-section and time-series behavior of U.S. stock returns.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284028
    Series: Staff reports / Federal Reserve Bank of New York ; no. 1068 (July 2023)
    Subjects: beta pricing models; portfolio sorting; nonparametric estimation; partitioning; kernel regression; smoothly varying coefficients
    Scope: 1 Online-Ressource (circa 103 Seiten), Illustrationen
  5. Beta-sorted portfolios
    Author: Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining
    Published: [2023]
    Publisher:  Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]

    Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 243
    Inter-library loan:
    No inter-library loan

     

    Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to comparable procedures such as two-pass regressions. We formally investigate the properties of beta-sorted portfolio returns by casting the procedure as a two-step nonparametric estimator with a nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm with precise economic and statistical assumptions on the general data generating process. We provide conditions that ensure consistency and asymptotic normality along with new uniform inference procedures allowing for uncertainty quantification and general hypothesis testing for financial applications. We show that the rate of convergence of the estimator is non-uniform and depends on the beta value of interest. We also show that the widely-used Fama-MacBeth variance estimator is asymptotically valid but is conservative in general, and can be very conservative in empirically-relevant settings. We propose a new variance estimator which is always consistent and provide an empirical implementation which produces valid inference. In our empirical application we introduce a novel risk factor - a measure of the business credit cycle - and show that it is strongly predictive of both the cross-section and time-series behavior of U.S. stock returns.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284142
    Series: Cemmap working paper ; CWP23, 18
    Subjects: Beta pricing models; portfolio sorting; nonparametric estimation; partitioning; kernel regression; smoothly-varying coefficients
    Scope: 1 Online-Ressource (circa 102 Seiten), Illustrationen