Total Factor Productivity and Idiosyncratic Volatility Trends
نویسندگان
چکیده
منابع مشابه
Trends in hospital labor and total factor productivity, 1981-86
The per-case payment rates of Medicare's prospective payment system are annually updated. As one element of the update factor, Congress required consideration of changes in hospital productivity. In this article, calculations of annual changes in labor and total factor productivity during 1981-86 of hospitals eligible for prospective payment are presented using several output and input variants...
متن کاملTrends in Total Factor Productivity in Pakistan Agriculture Sector
Total factor productivity (TFP) has emerged as an important source of agriculture growth. However, this area remained neglected by researchers as well as policy makers in Pakistan. The studies which have estimated agriculture TFP growth in Pakistan are very few and they have tended to overstate it by ignoring the variation in capacity utilization, hours worked and improvement in labour producti...
متن کاملPrice Momentum and Idiosyncratic Volatility
We show that stocks with higher idiosyncratic volatility display greater price momentum; a relation which is economically large, statistically significant, and robust. Stocks with higher idiosyncratic volatility also experience quicker and larger reversals. These findings are consistent with the view that momentum profits are attributable to underreaction to firm-specific information. Our findi...
متن کاملIdiosyncratic risk and volatility bounds
This paper uses Hansen and Jagannathan’s (1991) volatility bounds to evaluate models with idiosyncratic consumption risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and the distribution of the idiosyncratic shock is independent of the aggregate state. Following Mankiw (1986), I then show that idiosyncratic risk can help to en...
متن کاملAGGREGATE IDIOSYNCRATIC VOLATILITY Geert
We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and we find no evidence of upward trends. Instead, idiosyncratic volatility appears to be well described by a stationary autoregressive process that occasionally switches into a higher-variance regime that has relatively short duration. We also document that idiosyncratic volatili...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2020
ISSN: 1556-5068
DOI: 10.2139/ssrn.3612803