Files in this item



application/pdf3086004.pdf (7MB)Restricted to U of Illinois
(no description provided)PDF


Title:Robust Estimation of the Cross-Sections of United States Wages and Stock Returns
Author(s):Amidon, Carole Marie
Doctoral Committee Chair(s):Koenker, Roger W.
Department / Program:Economics
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):Economics, Labor
Abstract:The purpose of the study of the cross-section of U.S. stock returns is to examine how the relationship between returns and a conventional measure of risk differs across the conditional distribution of returns. The conditional quartile functions show that the relationship is not constant across the conditional distribution implying that the independent variables have differential effects on the stock return given the quartile examined. The relationship between stock returns and size (market equity) and book-to-market value is not constant across the conditional distribution of returns. The size effect has its usual sign, negative, for the largest returns, but is positive for the median and smallest returns. Book-to-market value has an inconsistent relationship with the return on stocks depending on the other included independent variables. There is some evidence, however, that the large returns are positively related to book-to-market value while the median and small returns have no relationship.
Issue Date:2003
Description:141 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2003.
Other Identifier(s):(MiAaPQ)AAI3086004
Date Available in IDEALS:2015-09-25
Date Deposited:2003

This item appears in the following Collection(s)

Item Statistics