Arbeitspapier
Decomposing excess returns in stochastic linear models
We present a theorem helpful in estimating the mean and variance of a linear function with arbitrary multivariate randomness in its coefficients and variables. We derive a generalized decomposition result from two random linear functions in which the result can be applied to most models using event study analysis. Taking the 1989 minimum wage hike as an example, we found that the apparent lack of an effect is a consequence of two off-setting forces: 1) a negative effect arising from firm-specific traits and 2) a positive effect arising from market performance. In sum, we bring to the analysis a method that helps provide additional insights and can be applied to much of the work using event study.
- Sprache
-
Englisch
- Erschienen in
-
Series: IZA Discussion Papers ; No. 6237
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
Wage Level and Structure; Wage Differentials
Wages, Compensation, and Labor Costs: Public Policy
- Thema
-
excess returns
minimum wage
decomposition
event study
Ökonometrisches Modell
Stochastischer Prozess
Dekompositionsverfahren
Event Study
Mindestlohn
Wirkungsanalyse
Gewinn
Schätzung
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lin, Carl
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for the Study of Labor (IZA)
- (wo)
-
Bonn
- (wann)
-
2011
- Handle
- URN
-
urn:nbn:de:101:1-201202285068
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lin, Carl
- Institute for the Study of Labor (IZA)
Entstanden
- 2011
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