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Economics

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GMM tests of stochastic discount factor models with useless factors

Article Abstract:

Generalized method of moments tests are analyzed for the stochastic discount factor representation of asset pricing models when one of the factors is useless. Analytic findings on asymptotic distributions and simulation findings on finite sample distributions indicate that the Wald test tends to overreject the hypothesis of a zero factor premium for a useless factor when the model is misspecified. and with the presence of useless factor, the power of the over-identifying restriction test in rejecting misspecified models is reduced.

Research, Stochastic processes, Capital assets pricing model, Capital asset pricing model

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Research design issues in grouping-based tests

Article Abstract:

An analysis of grouping-based tests is presented. Under such tests, samples are sorted by an observable factor and average values of the dependent variable in extreme-ranked groups are examined.It is shown that the test's predictive power is optimal when the extreme groupseach carry 27% of the sample. In addition, regression exhibits more powerthan grouping regardless of error presence for the independent variable.

Methods, Analysis, Economic research, Regression analysis

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An analysis of value destruction in AT&T's acquisition of NCR

Article Abstract:

The decision by AT and T Corp. to pursue at all costs the acquisition of NCR despite the resistance of the latter, the unfavorable market environment and perceived losses to shareholder wealth is conjectured to be a mix of face-saving, bad management and commitment to some goal. The acquisition resulted in a loss of up to $6.5 billion in shareholder wealth and up to $3 billion in terms of negative synergy.

Electronic computers, Computers, Electronic Computer Manufacturing, Telecommunications, Telephone Communication, Computer industry, Mergers, acquisitions and divestments, Telecommunications services industry, Telecommunications industry, AT&T Corp., T, NCR Corp., NCR

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