Long-term performance evaluation: methodological issues and empirical applications
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Münster
Verl.-Haus Monsenstein und Vannerdat
2007
|
| Series: | MV-Wissenschaft
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XI, 139 S. graph. Darst. 24 cm |
| ISBN: | 9783865826015 3865826016 |
Staff View
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Record in the Search Index
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| adam_text | 8G/I AK?- )& LONG-TERAI PERFORMANCE EVALUATIONS METHODOLOGICAL ISSUES
AND EMPIRICAL APPLICATIONS K DISSERTATION ZUR ERLANGUNG DER WIIRDE EINES
DOKTORS DER STAATSWISSENSCHAFTEN VORGELEGT DER
WIRTSCHAFTSWISSENSCHAFTLICHEN FAKULTAT DER UNIVERSITAT BASEL VON DANIEL
HOCHLE VON BASEL UND KLINGNAU (AARGAU) VERLAGSHAUS MONSENSTEIN UND
VANNERDAT MINISTER 2007 CONTENTS PREFACE VII HOW ROBUST ARE ROBUST
STANDARD ERRORS FOR PANEL REGRESSIONS WITH CROSS- SECTIONAL DEPENDENCE?
1 ABSTRACT 3 1 INTRODUCTION 5 2 A BRIEF SUMMARY OF ROBUST COVARIANCE
MATRIX ESTIMATORS 7 3 PANEL MODELS WITH DRISCOLL AND KRAAY STANDARD
ERRORS . . . 9 3.1 DRISCOLL AND KRAAY STANDARD ERRORS FOR POOLED OLS
ESTIMATION 10 3.2 FIXED-EFFECTS REGRESSION WITH DRISCOLL AND KRAAY
STANDARD ERRORS 12 3.3 A NOTE ON LAG LENGTH SELECTION 12 4 MONTE CARLO
EVIDENCE 13 4.1 SPECIFICATION 14 4.2 PARAMETER SETTINGS ( SCENARIOS ) 16
4.3 SIMULATION RESULTS 17 5 CONCLUSION 26 REFERENCES 28 A GENERALIZATION
OF THE CALENDAR TIME PORTFOLIO APPROACH AND THE PERFORMANCE OF PRIVATE
INVESTORS 31 ABSTRACT ._ 33 1 INTRODUCTION : 35 IN 2 METHODOLOGY 38 2.1
THE CALENDAR TIME PORTFOLIO APPROACH 39 2.2 A REGRESSION-BASED
REPLICATION OF THE CALJIME APPROACH 40 2.3 GENERALIZING THE CALENDAR
TIME PORTFOLIO APPROACH 42 2.4 RELATING THE CALTIME APPROACH TO THE
CROSSREG TECHNIQUE 44 3 DATA 45 3.1 DESCRIPTION OF THE INVESTOR DATABASE
46 3.2 RETURN COMPUTATIONS 53 4 EMPIRICAL ANALYSIS 56 4.1 AN
ILLUSTRATION OF PROPOSITIONS 1-3 56 4.2 TIME-VARYING INVESTOR GROUPS AND
UNBALANCED PANELS 60 4.3 MULTIVARIATE INVESTOR CHARACTERISTICS AND
PERFORMANCE MEASUREMENT .... 63 4.4 DOES CROSS-SECTIONAL DEPENDENCE
MATTER? 67 5 CONCLUSION 70 REFERENCES 72 APPENDIX A PROOF OF
PROPOSITIONS 1 THROUGH 3 76 A. 1 PROOF OF PROPOSITION 1 76 A.2 PROOF OF
PROPOSITION 2 79 A.3 PROOF OF PROPOSITION 3 84 WHICH, WHY, AND FOR HOW
LONG DO IPOS UNDERPERFORM? 87 ABSTRACT 89 1 INTRODUCTION 91 2 DATA 94
2.1 SAMPLE SELECTION 94 2.2 MATCHING IPO FIRMS WITH NON-ISSUING CONTROL
FIRMS 95 3 DESCRIPTIVE ANALYSIS 96 4 BUY-AND-HOLD ABNORMAL RETURNS
(BHARS) 101 IV 4.1 STATISTICAL INFERENCE FOR BUY-AND-HOLD ABNORMAL
RETURNS 102 4.2 GENERALIZING THE BHAR APPROACH 104 4.3 TRADITIONAL BHAR
ANALYSIS 105 4.4 WHICH IPOS DO UNDERPERFORM? 112 5 GENERALIZED CALENDAR
TIME PORTFOLIO ANALYSIS 118 5.1 THE GCT-REGRESSION MODEL 118 5.2 OVER
WHAT HORIZON DO IPO FIRMS UNDERPERFORM? 119 5.3 WHY DO IPOS
UNDERPERFORM? 123 6 CONCLUSION 132 REFERENCES 135 APPENDIX A PROOF OF
PROPOSITION 1 138
|
| adam_txt |
8G/I AK?- )& LONG-TERAI PERFORMANCE EVALUATIONS METHODOLOGICAL ISSUES
AND EMPIRICAL APPLICATIONS K DISSERTATION ZUR ERLANGUNG DER WIIRDE EINES
DOKTORS DER STAATSWISSENSCHAFTEN VORGELEGT DER
WIRTSCHAFTSWISSENSCHAFTLICHEN FAKULTAT DER UNIVERSITAT BASEL VON DANIEL
HOCHLE VON BASEL UND KLINGNAU (AARGAU) VERLAGSHAUS MONSENSTEIN UND
VANNERDAT MINISTER 2007 CONTENTS PREFACE VII HOW "ROBUST" ARE ROBUST
STANDARD ERRORS FOR PANEL REGRESSIONS WITH CROSS- SECTIONAL DEPENDENCE?
1 ABSTRACT 3 1 INTRODUCTION 5 2 A BRIEF SUMMARY OF ROBUST COVARIANCE
MATRIX ESTIMATORS 7 3 PANEL MODELS WITH DRISCOLL AND KRAAY STANDARD
ERRORS . . ." 9 3.1 DRISCOLL AND KRAAY STANDARD ERRORS FOR POOLED OLS
ESTIMATION 10 3.2 FIXED-EFFECTS REGRESSION WITH DRISCOLL AND KRAAY
STANDARD ERRORS 12 3.3 A NOTE ON LAG LENGTH SELECTION 12 4 MONTE CARLO
EVIDENCE 13 4.1 SPECIFICATION 14 4.2 PARAMETER SETTINGS ("SCENARIOS") 16
4.3 SIMULATION RESULTS 17 5 CONCLUSION 26 REFERENCES 28 A GENERALIZATION
OF THE CALENDAR TIME PORTFOLIO APPROACH AND THE PERFORMANCE OF PRIVATE
INVESTORS 31 ABSTRACT ._ 33 1 INTRODUCTION : 35 IN 2 METHODOLOGY 38 2.1
THE CALENDAR TIME PORTFOLIO APPROACH 39 2.2 A REGRESSION-BASED
REPLICATION OF THE CALJIME APPROACH 40 2.3 GENERALIZING THE CALENDAR
TIME PORTFOLIO APPROACH 42 2.4 RELATING THE CALTIME APPROACH TO THE
CROSSREG TECHNIQUE 44 3 DATA 45 3.1 DESCRIPTION OF THE INVESTOR DATABASE
46 3.2 RETURN COMPUTATIONS 53 4 EMPIRICAL ANALYSIS 56 4.1 AN
ILLUSTRATION OF PROPOSITIONS 1-3 56 4.2 TIME-VARYING INVESTOR GROUPS AND
UNBALANCED PANELS 60 4.3 MULTIVARIATE INVESTOR CHARACTERISTICS AND
PERFORMANCE MEASUREMENT . 63 4.4 DOES CROSS-SECTIONAL DEPENDENCE
MATTER? 67 5 CONCLUSION 70 REFERENCES 72 APPENDIX A PROOF OF
PROPOSITIONS 1 THROUGH 3 76 A. 1 PROOF OF PROPOSITION 1 76 A.2 PROOF OF
PROPOSITION 2 79 A.3 PROOF OF PROPOSITION 3 84 WHICH, WHY, AND FOR HOW
LONG DO IPOS UNDERPERFORM? 87 ABSTRACT 89 1 INTRODUCTION 91 2 DATA 94
2.1 SAMPLE SELECTION 94 2.2 MATCHING IPO FIRMS WITH NON-ISSUING CONTROL
FIRMS 95 3 DESCRIPTIVE ANALYSIS 96 4 BUY-AND-HOLD ABNORMAL RETURNS
(BHARS) 101 IV 4.1 STATISTICAL INFERENCE FOR BUY-AND-HOLD ABNORMAL
RETURNS 102 4.2 GENERALIZING THE BHAR APPROACH 104 4.3 TRADITIONAL BHAR
ANALYSIS 105 4.4 WHICH IPOS DO UNDERPERFORM? 112 5 GENERALIZED CALENDAR
TIME PORTFOLIO ANALYSIS 118 5.1 THE GCT-REGRESSION MODEL 118 5.2 OVER
WHAT HORIZON DO IPO FIRMS UNDERPERFORM? 119 5.3 WHY DO IPOS
UNDERPERFORM? 123 6 CONCLUSION 132 REFERENCES 135 APPENDIX A PROOF OF
PROPOSITION 1 138 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Hoechle, Daniel 1976- |
| author_GND | (DE-588)133786617 |
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| author_variant | d h dh |
| building | Verbundindex |
| bvnumber | BV023210112 |
| classification_rvk | QK 810 |
| ctrlnum | (OCoLC)197941461 (DE-599)DNB986590118 |
| dewey-full | 332.63221015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63221015195 |
| dewey-search | 332.63221015195 |
| dewey-sort | 3332.63221015195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV023210112 |
| illustrated | Illustrated |
| index_date | 2024-07-02T20:11:40Z |
| indexdate | 2024-07-09T21:13:08Z |
| institution | BVB |
| isbn | 9783865826015 3865826016 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016396186 |
| oclc_num | 197941461 |
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| owner | DE-12 DE-473 DE-BY-UBG |
| owner_facet | DE-12 DE-473 DE-BY-UBG |
| physical | XI, 139 S. graph. Darst. 24 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Verl.-Haus Monsenstein und Vannerdat |
| record_format | marc |
| series2 | MV-Wissenschaft |
| spelling | Hoechle, Daniel 1976- Verfasser (DE-588)133786617 aut Long-term performance evaluation methodological issues and empirical applications von Daniel Höchle Münster Verl.-Haus Monsenstein und Vannerdat 2007 XI, 139 S. graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier MV-Wissenschaft Zugl.: Basel, Univ., Diss., 2007 Performance Kapitalanlage (DE-588)4219415-5 gnd rswk-swf Langfristige Analyse (DE-588)4200335-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Performance Kapitalanlage (DE-588)4219415-5 s Langfristige Analyse (DE-588)4200335-0 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016396186&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hoechle, Daniel 1976- Long-term performance evaluation methodological issues and empirical applications Performance Kapitalanlage (DE-588)4219415-5 gnd Langfristige Analyse (DE-588)4200335-0 gnd |
| subject_GND | (DE-588)4219415-5 (DE-588)4200335-0 (DE-588)4113937-9 |
| title | Long-term performance evaluation methodological issues and empirical applications |
| title_auth | Long-term performance evaluation methodological issues and empirical applications |
| title_exact_search | Long-term performance evaluation methodological issues and empirical applications |
| title_exact_search_txtP | Long-term performance evaluation methodological issues and empirical applications |
| title_full | Long-term performance evaluation methodological issues and empirical applications von Daniel Höchle |
| title_fullStr | Long-term performance evaluation methodological issues and empirical applications von Daniel Höchle |
| title_full_unstemmed | Long-term performance evaluation methodological issues and empirical applications von Daniel Höchle |
| title_short | Long-term performance evaluation |
| title_sort | long term performance evaluation methodological issues and empirical applications |
| title_sub | methodological issues and empirical applications |
| topic | Performance Kapitalanlage (DE-588)4219415-5 gnd Langfristige Analyse (DE-588)4200335-0 gnd |
| topic_facet | Performance Kapitalanlage Langfristige Analyse Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016396186&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT hoechledaniel longtermperformanceevaluationmethodologicalissuesandempiricalapplications |