Robust Estimation of the Cross-Sections of United States Wages and Stock Returns

Amidon, Carole Marie

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Description

Title

Robust Estimation of the Cross-Sections of United States Wages and Stock Returns

Author(s)

Amidon, Carole Marie

Issue Date

2003

Doctoral Committee Chair(s)

Koenker, Roger W.

Department of Study

Economics

Discipline

Economics

Degree Granting Institution

University of Illinois at Urbana-Champaign

Degree Name

Ph.D.

Degree Level

Dissertation

Keyword(s)

Economics, Labor

Language

eng

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.

Graduation Semester

2003

Type of Resource

text

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