Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

Estimation and Inference in Econometrics

机构投资者作为证券市场中的重要力量,越来越受到理论界和实务界的关注。论文对宾夕法尼亚大学沃顿商学院会计学教授布赖恩-布希（Brian Bushee）的论文＂The influence of institutional investors on myopic R＆D investment behavior＂（机构投资者对企业短视研发投资行为的影响,以下简称Bushee（1998））进行评价并提出相关的建议和研究方向。

《The influence of institutional investors on myopic R＆D investment behavior》述评

International Momentum Strategies

I describe asset price dynamics caused by the slow movement of investment capital to trading opportunities. The pattern of price responses to supply or demand shocks typically involves a sharp reaction to the shock and a subsequent and more extended reversal. The amplitude of the immediate price impact and the pattern of the subsequent recovery can reflect institutional impediments to immediate trade, such as search costs for trading counterparties or time to raise capital by intermediaries. I discuss special impediments to capital formation during the recent financial crisis that caused asset price distortions, which subsided afterward. After presenting examples of price reactions to supply shocks in normal market settings, I offer a simple illustrative model of price dynamics associated with slow-moving capital due to the presence of inattentive investors. I ADDRESS THE IMPLICATIONS for asset price dynamics of the apparent slow movement of investment capital to trading opportunities. The arrival of new capital to an investment opportunity can be delayed by fractions of a second in some markets, for example an electronic limit-order-book market for equities, or by months in other markets, such as that for catastrophe risk insurance. Accordingly, prices respond to supply or demand shocks with a sharp reaction because of the relatively small subset of capital (and thus risk-bearing capacity) that is immediately available to absorb a shock on short notice. Such a price impact is substantially reversed over time as additional capital becomes available. The amplitude of the immediate price impact and the pattern of the subsequent recovery can reflect many sorts of attention costs to trade as well as institutional impediments to capital movement, such as search costs for trading

/pdf/presidential-address-asset-price-dynamics-with-slow-moving-464u4xvck9.pdf

Presidential Address: Asset Price Dynamics with Slow-Moving Capital

Globalization, Corporate Finance, and the Cost of Capital

This paper presents results from an in-depth analysis of the foreign exchange rate exposure of a large nonfinancial firm based on proprietary internal data including cash flows, derivatives and foreign currency debt, as well as external capital market data. While the operations of the multinational firm have significant exposure to foreign exchange rate risk due to foreign currency-based activities and international competition, corporate hedging mitigates this gross exposure. The analysis illustrates that the insignificance of foreign exchange rate exposures of comprehensive performance measures such as total cash flow can be explained by hedging at the firm level. Thus, the residual net exposure is economically and statistically small, even if the operating cash flows of the firm are significantly exposed to exchange rate risk. The results of the paper suggest that managers of nonfinancial firms with operations exposed to foreign exchange rate risk take savvy actions to reduce exposure to a level too low to allow its detection empirically.

/pdf/what-lies-beneath-foreign-exchange-rate-exposure-hedging-and-65jas8pq0v.pdf

What Lies Beneath: Foreign Exchange Rate Exposure, Hedging and Cash Flows

Many interest rates are as volatile as exchange rates and thus represent an equally important source of risk for corporations. While this is true not only for financial institutions, but for other corporations as well, little is known about the interest rate exposure of nonfinancial firms. Consequently, this paper investigates the impact of interest rate risk on a large sample of nonfinancial corporations. It presents empirical evidence for the existence of linear and nonlinear exposures with regard to movements in various interest rate variables. The interest rate exposure is empirically determined by measures of firm liquidity, but not by financial leverage.

The Interest Rate Exposure of Nonfinancial Corporations

https://mpra.ub.uni-muenchen.de/14018/1/MPRA_paper_14018.pdf

Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets

Theoretical research predicts many firms should have sizeable exchange rate exposure. However, empirical research has not documented consistently strong relations between exchange rates and stock prices. To examine this discrepancy, we extend prior theoretical results to model a global firm's exchange rate exposure. Using this model and a global sample manufacturing firms from 16 countries, we show empirically that firms pass part of currency changes through to customers, utilize operational hedges (e.g., matching foreign sales with foreign production), and employ financial risk management strategies. We estimate that for a typical firm in our sample, pass-through and operational hedging each reduce exposure by 10% to 15%. Financial hedging with foreign currency debt, and to a lesser extent FX derivatives, appears to reduce exposure by about 40%. The combination of these factors reduces exchange rate exposures to observed levels.

/pdf/resolving-the-exposure-puzzle-the-many-facets-of-exchange-5dkt3tddqv.pdf

Resolving the Exposure Puzzle: The Many Facets of Exchange Rate Exposure

Many interest rates are as volatile as exchange rates and thus represent an equally important source of risk for corporations. While this is true not only for financial institutions, but for other corporations as well, little is known about the interest rateexposure of nonfinancial firms. Consequently, this paper investigates the impact of interest rate risk on a large sample of nonfinancial corporations. It presents empirical evidence for the existence of linear and nonlinear exposures with regard to movements invarious interest rate variables. The interest rate exposure is empirically determinedbymeasures of firm liquidity, but not by financial leverage. JEL classification codes: G3, F4, F3

Söhnke M. Bartram

Papers

What Lies Beneath: Foreign Exchange Rate Exposure, Hedging and Cash Flows

The Interest Rate Exposure of Nonfinancial Corporations

Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets

Resolving the Exposure Puzzle: The Many Facets of Exchange Rate Exposure

The Interest Rate Exposure of Nonfinancial Corporations