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

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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Amidon, Carole Marie

Contributors dc:contributor

• Koenker, Roger W.

• Economics, Labor

Language dc:language

eng

Identifier

(MiAaPQ)AAI3086004

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/85529