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Proxy (statistics)

About: Proxy (statistics) is a research topic. Over the lifetime, 5257 publications have been published within this topic receiving 94504 citations. The topic is also known as: proxy variable & proxy measurement.


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Journal ArticleDOI
TL;DR: In this paper, the Fama-French factors HML and SMB are correlated with innovations in variables that describe investment opportunities, including shocks to the aggregate dividend yield and term spread, default spread, and one-month Treasury-bill yield.
Abstract: The Fama-French factors HML and SMB are correlated with innovations in variables that describe investment opportunities. A model that includes shocks to the aggregate dividend yield and term spread, default spread, and one-month Treasury-bill yield explains the cross-section of average returns better than the Fama-French model. When loadings on the innovations in the predictive variables are present in the model, loadings on HML and SMB lose their explanatory power for the cross-section of returns. The results are consistent with an ICAPM explanation for the empirical success of the Fama-French portfolios.

524 citations

Journal ArticleDOI
TL;DR: In this paper, the authors developed a firm life cycle proxy using cash flow patterns, which provides a parsimonious indicator of life cycle stage that is free from distributional assumptions (i.e., uniformity) and identifies differential behavior in the persistence and convergence patterns of profitability.
Abstract: This study develops a firm life cycle proxy using cash flow patterns The patterns provide a parsimonious indicator of life cycle stage that is free from distributional assumptions (ie, uniformity) The proxy identifies differential behavior in the persistence and convergence patterns of profitability For example, return on net operating assets (RNOA) does not mean-revert (spread of 7 percent after five years between mature and decline firms) when examined by life cycle stage, which has implications for growth rates and forecast horizons Further, determinants of future profitability such as asset turnover and profit margin are differentially successful in generating increases in profitability conditional on life cycle stage Finally, investors do not fully incorporate the information contained in cash flow patterns and, as a result, undervalue mature firms The cash flow proxy is a robust tool that has applications in analysis, forecasting, valuation, and as a control variable for future re

507 citations

Journal ArticleDOI
TL;DR: In this article, the authors provide evidence on the construct validity of this measure by reporting on the predictive ability of alternative models of litigation risk, and supplementing this variable with measures of firm characteristics (such as size, growth, and stock volatility) considerably improves predictive ability.

456 citations

Journal ArticleDOI
TL;DR: In this article, the authors reexamine the time-series relation between the conditional mean and variance of stock market returns and find strong support for a positive intertemporal mean-variance relation at both the country level and the world market level.
Abstract: We reexamine the time-series relation between the conditional mean and variance of stock market returns. To proxy for the conditional mean return, we use the implied cost of capital, computed using analyst forecasts. The usefulness of this proxy is shown in simulations. In empirical analysis, we construct the time series of the implied cost of capital for the G-7 countries. We find strong support for a positive intertemporal mean-variance relation at both the country level and the world market level. Some of our evidence is consistent with international integration of the G-7 financial markets.

452 citations

Journal ArticleDOI
TL;DR: It is feasible to approximate both household wealth and expenditures in rural African settings without dramatically lengthening questionnaires that have a primary focus on health outcomes.
Abstract: STUDY OBJECTIVE To test the validity of proxy measures of household wealth and income that can be readily implemented in health surveys in rural Africa. DESIGN Data are drawn from four different integrated household surveys. The assumptions underlying the choice of wealth proxy are described, and correlations with the true value are assessed in two different settings. The expenditure proxy is developed and then tested for replicability in two independent datasets representing the same population. SETTING Rural areas of Mali, Malawi, and Cote d9Ivoire (two national surveys). PARTICIPANTS Random sample of rural households in each setting (n=275, 707, 910, and 856, respectively). MAIN RESULTS In both Mali and Malawi, the wealth proxy correlated highly ( r ⩾0.74) with the more complex monetary value method. For rural areas of Cote d9Ivoire, it was possible to generate a list of just 10 expenditure items, the values of which when summed correlated highly with expenditures on all items combined ( r =0.74, development dataset, r =0.72, validation dataset). Total household expenditure is an accepted alternative to household income in developing country settings. CONCLUSIONS It is feasible to approximate both household wealth and expenditures in rural African settings without dramatically lengthening questionnaires that have a primary focus on health outcomes.

444 citations


Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20231,242
20222,473
2021334
2020262
2019250
2018282