Financial impact of risk on municipal earnings
To evaluate the relation between regional earnings and risk across the US economy, this article uses a heteroscedastic model that captures earnings uncertainty. We then implement a nonlinear estimator that simultaneously estimates the variance of the econometric residual and the effect of the varian...
- Autores:
-
Sarmiento, Camilo
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2007
- Institución:
- Escuela Colombiana de Ingeniería Julio Garavito
- Repositorio:
- Repositorio Institucional ECI
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.escuelaing.edu.co:001/2772
- Acceso en línea:
- https://repositorio.escuelaing.edu.co/handle/001/2772
https://repositorio.escuelaing.edu.co/
- Palabra clave:
- Economía - Estados Unidos
Econometría
Economía matemática
Ganancias municipales - Estados Unidos
Finanzas - Estados Unidos
Economy - United States
Econometrics
Mathematical economics
Municipal Profits - United States
Finance - United States
- Rights
- openAccess
- License
- http://purl.org/coar/access_right/c_abf2
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Financial impact of risk on municipal earnings |
| title |
Financial impact of risk on municipal earnings |
| spellingShingle |
Financial impact of risk on municipal earnings Economía - Estados Unidos Econometría Economía matemática Ganancias municipales - Estados Unidos Finanzas - Estados Unidos Economy - United States Econometrics Mathematical economics Municipal Profits - United States Finance - United States |
| title_short |
Financial impact of risk on municipal earnings |
| title_full |
Financial impact of risk on municipal earnings |
| title_fullStr |
Financial impact of risk on municipal earnings |
| title_full_unstemmed |
Financial impact of risk on municipal earnings |
| title_sort |
Financial impact of risk on municipal earnings |
| dc.creator.fl_str_mv |
Sarmiento, Camilo |
| dc.contributor.author.none.fl_str_mv |
Sarmiento, Camilo |
| dc.contributor.researchgroup.spa.fl_str_mv |
Centro de Estudios Económicos |
| dc.subject.armarc.none.fl_str_mv |
Economía - Estados Unidos Econometría Economía matemática Ganancias municipales - Estados Unidos Finanzas - Estados Unidos Economy - United States Econometrics Mathematical economics Municipal Profits - United States Finance - United States |
| topic |
Economía - Estados Unidos Econometría Economía matemática Ganancias municipales - Estados Unidos Finanzas - Estados Unidos Economy - United States Econometrics Mathematical economics Municipal Profits - United States Finance - United States |
| description |
To evaluate the relation between regional earnings and risk across the US economy, this article uses a heteroscedastic model that captures earnings uncertainty. We then implement a nonlinear estimator that simultaneously estimates the variance of the econometric residual and the effect of the variance on expected earnings. Estimation results show the association between risk and earnings for local economies. |
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2007 |
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2007 |
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2024-01-16T14:42:36Z |
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2024-01-16T14:42:36Z |
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Artículo de revista |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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info:eu-repo/semantics/publishedVersion |
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http://purl.org/coar/resource_type/c_6501 |
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1744-6546 |
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https://repositorio.escuelaing.edu.co/handle/001/2772 |
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1744-6546 |
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Escuela Colombiana de Ingeniería Julio Garavito |
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Repositorio Digital |
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https://repositorio.escuelaing.edu.co/ |
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1744-6546 Escuela Colombiana de Ingeniería Julio Garavito Repositorio Digital |
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https://repositorio.escuelaing.edu.co/handle/001/2772 https://repositorio.escuelaing.edu.co/ |
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eng |
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eng |
| dc.relation.citationedition.spa.fl_str_mv |
No. 2 Vol. 3 2007 |
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98 |
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2 |
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95 |
| dc.relation.citationvolume.spa.fl_str_mv |
3 |
| dc.relation.ispartofjournal.eng.fl_str_mv |
Applied Financial Economics Letters |
| dc.relation.references.spa.fl_str_mv |
Balaban, E. and Bayar, A. (2005) Stock returns and volatility: empirical evidence from fourteen countries, Applied Economics Letters, 12, 603–11. Engle, R. F., Lillen, D. and Robins, R. (1987) Estimating time varying risk premia in the term structure: the ARCH-M model, Econometrica, 55, 391–407. Glaeser, E. L., Scheinkman, J. A. and Shleifer, A. (1992) Growth of cities, Journal of Political Economy, 100, 1126–52 Lee, M.-C., Chiou, J.-S. and Lin, C.-M. (2006) A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH, Applied Financial Economics Letters, 2, 183–8. Levy, H. (1997) Risk and return: an experimental analysis, International Economic Review, 30, 119–49. Mehra, R. and Prescott, E. (1985) The equity premium: a puzzle, Journal of Monetary Economics, 15, 145–61. Porter, M. E. (1990) The Comparative Advantages of Nations, Free Press, New York. Sarmiento, C. (2006) Statistical analysis of municipal bond ratings under spatial correlation bond ratings, Applied Financial Economics Letters, 2, 233–7. Sharpe, W. (1966) Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance, 19, 425–42. |
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5 páginas |
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Taylor and Francis Group |
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Estados Unidos |
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https://www.tandfonline.com/ |
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Sarmiento, Camiloa48a67bcfacaaa8d4773d8fd3f6d85acCentro de Estudios Económicos2024-01-16T14:42:36Z2024-01-16T14:42:36Z20071744-6546https://repositorio.escuelaing.edu.co/handle/001/27721744-6546Escuela Colombiana de Ingeniería Julio GaravitoRepositorio Digitalhttps://repositorio.escuelaing.edu.co/To evaluate the relation between regional earnings and risk across the US economy, this article uses a heteroscedastic model that captures earnings uncertainty. We then implement a nonlinear estimator that simultaneously estimates the variance of the econometric residual and the effect of the variance on expected earnings. Estimation results show the association between risk and earnings for local economies.Para evaluar la relación entre los ingresos regionales y el riesgo en toda la economía estadounidense, este artículo utiliza un modelo heterocedástico que captura la incertidumbre sobre los beneficios. Luego implementamos un estimador no lineal que estima simultáneamente la varianza del residual econométrico y el efecto de la varianza sobre las ganancias esperadas. Los resultados de las estimaciones muestran la asociación entre riesgo y ganancias para las economías locales.5 páginasapplication/pdfengTaylor and Francis GroupEstados Unidoshttps://www.tandfonline.com/Financial impact of risk on municipal earningsArtículo de revistainfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Textinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a85No. 2 Vol. 3 2007982953Applied Financial Economics LettersBalaban, E. and Bayar, A. (2005) Stock returns and volatility: empirical evidence from fourteen countries, Applied Economics Letters, 12, 603–11.Engle, R. F., Lillen, D. and Robins, R. (1987) Estimating time varying risk premia in the term structure: the ARCH-M model, Econometrica, 55, 391–407.Glaeser, E. L., Scheinkman, J. A. and Shleifer, A. (1992) Growth of cities, Journal of Political Economy, 100, 1126–52Lee, M.-C., Chiou, J.-S. and Lin, C.-M. (2006) A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH, Applied Financial Economics Letters, 2, 183–8.Levy, H. (1997) Risk and return: an experimental analysis, International Economic Review, 30, 119–49. Mehra, R. and Prescott, E. (1985) The equity premium: a puzzle, Journal of Monetary Economics, 15, 145–61.Porter, M. E. (1990) The Comparative Advantages of Nations, Free Press, New York.Sarmiento, C. (2006) Statistical analysis of municipal bond ratings under spatial correlation bond ratings, Applied Financial Economics Letters, 2, 233–7.Sharpe, W. (1966) Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance, 19, 425–42.info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Economía - Estados UnidosEconometríaEconomía matemáticaGanancias municipales - Estados UnidosFinanzas - Estados UnidosEconomy - United StatesEconometricsMathematical economicsMunicipal Profits - United StatesFinance - United StatesTEXTFinancial Impact of Risk on Municipal Earnings.pdf.txtFinancial Impact of Risk on Municipal Earnings.pdf.txtExtracted texttext/plain13703https://repositorio.escuelaing.edu.co/bitstream/001/2772/4/Financial%20Impact%20of%20Risk%20on%20Municipal%20Earnings.pdf.txte4876e28a9879f5c02937cf242f710d1MD54open accessTHUMBNAILPortada financial impact of risk on municipal earnings.JPGPortada financial impact of risk on municipal earnings.JPGimage/jpeg68074https://repositorio.escuelaing.edu.co/bitstream/001/2772/3/Portada%20financial%20impact%20of%20risk%20on%20municipal%20earnings.JPG50adf71f9d272f4e9fd8299d13b7236dMD53open accessFinancial Impact of Risk on Municipal Earnings.pdf.jpgFinancial Impact of Risk on Municipal Earnings.pdf.jpgGenerated Thumbnailimage/jpeg8493https://repositorio.escuelaing.edu.co/bitstream/001/2772/5/Financial%20Impact%20of%20Risk%20on%20Municipal%20Earnings.pdf.jpg3d4af6b0ed40fa03085d6ce1aac2d9c7MD55metadata only accessLICENSElicense.txtlicense.txttext/plain; charset=utf-81881https://repositorio.escuelaing.edu.co/bitstream/001/2772/2/license.txt5a7ca94c2e5326ee169f979d71d0f06eMD52open accessORIGINALFinancial Impact of Risk on Municipal Earnings.pdfFinancial Impact of Risk on Municipal Earnings.pdfapplication/pdf183177https://repositorio.escuelaing.edu.co/bitstream/001/2772/1/Financial%20Impact%20of%20Risk%20on%20Municipal%20Earnings.pdf5091444c99fc8e216c3a09584c24a384MD51metadata only access001/2772oai:repositorio.escuelaing.edu.co:001/27722024-07-28 03:01:09.035metadata only accessRepositorio Escuela Colombiana de Ingeniería Julio Garavitorepositorio.eci@escuelaing.edu.coU0kgVVNURUQgSEFDRSBQQVJURSBERUwgR1JVUE8gREUgUEFSRVMgRVZBTFVBRE9SRVMgREUgTEEgQ09MRUNDScOTTiAiUEVFUiBSRVZJRVciLCBPTUlUQSBFU1RBIExJQ0VOQ0lBLgoKQXV0b3Jpem8gYSBsYSBFc2N1ZWxhIENvbG9tYmlhbmEgZGUgSW5nZW5pZXLDrWEgSnVsaW8gR2FyYXZpdG8gcGFyYSBwdWJsaWNhciBlbCB0cmFiYWpvIGRlIGdyYWRvLCBhcnTDrWN1bG8sIHZpZGVvLCAKY29uZmVyZW5jaWEsIGxpYnJvLCBpbWFnZW4sIGZvdG9ncmFmw61hLCBhdWRpbywgcHJlc2VudGFjacOzbiB1IG90cm8gKGVuICAgIGFkZWxhbnRlIGRvY3VtZW50bykgcXVlIGVuIGxhIGZlY2hhIAplbnRyZWdvIGVuIGZvcm1hdG8gZGlnaXRhbCwgeSBsZSBwZXJtaXRvIGRlIGZvcm1hIGluZGVmaW5pZGEgcXVlIGxvIHB1YmxpcXVlIGVuIGVsIHJlcG9zaXRvcmlvIGluc3RpdHVjaW9uYWwsIAplbiBsb3MgdMOpcm1pbm9zIGVzdGFibGVjaWRvcyBlbiBsYSBMZXkgMjMgZGUgMTk4MiwgbGEgTGV5IDQ0IGRlIDE5OTMsIHkgZGVtw6FzIGxleWVzIHkganVyaXNwcnVkZW5jaWEgdmlnZW50ZQphbCByZXNwZWN0bywgcGFyYSBmaW5lcyBlZHVjYXRpdm9zIHkgbm8gbHVjcmF0aXZvcy4gRXN0YSBhdXRvcml6YWNpw7NuIGVzIHbDoWxpZGEgcGFyYSBsYXMgZmFjdWx0YWRlcyB5IGRlcmVjaG9zIGRlIAp1c28gc29icmUgbGEgb2JyYSBlbiBmb3JtYXRvIGRpZ2l0YWwsIGVsZWN0csOzbmljbywgdmlydHVhbDsgeSBwYXJhIHVzb3MgZW4gcmVkZXMsIGludGVybmV0LCBleHRyYW5ldCwgeSBjdWFscXVpZXIgCmZvcm1hdG8gbyBtZWRpbyBjb25vY2lkbyBvIHBvciBjb25vY2VyLgpFbiBtaSBjYWxpZGFkIGRlIGF1dG9yLCBleHByZXNvIHF1ZSBlbCBkb2N1bWVudG8gb2JqZXRvIGRlIGxhIHByZXNlbnRlIGF1dG9yaXphY2nDs24gZXMgb3JpZ2luYWwgeSBsbyBlbGFib3LDqSBzaW4gCnF1ZWJyYW50YXIgbmkgc3VwbGFudGFyIGxvcyBkZXJlY2hvcyBkZSBhdXRvciBkZSB0ZXJjZXJvcy4gUG9yIGxvIHRhbnRvLCBlcyBkZSBtaSBleGNsdXNpdmEgYXV0b3LDrWEgeSwgZW4gY29uc2VjdWVuY2lhLCAKdGVuZ28gbGEgdGl0dWxhcmlkYWQgc29icmUgw6lsLiBFbiBjYXNvIGRlIHF1ZWphIG8gYWNjacOzbiBwb3IgcGFydGUgZGUgdW4gdGVyY2VybyByZWZlcmVudGUgYSBsb3MgZGVyZWNob3MgZGUgYXV0b3Igc29icmUgCmVsIGRvY3VtZW50byBlbiBjdWVzdGnDs24sIGFzdW1pcsOpIGxhIHJlc3BvbnNhYmlsaWRhZCB0b3RhbCB5IHNhbGRyw6kgZW4gZGVmZW5zYSBkZSBsb3MgZGVyZWNob3MgYXF1w60gYXV0b3JpemFkb3MuIEVzdG8gCnNpZ25pZmljYSBxdWUsIHBhcmEgdG9kb3MgbG9zIGVmZWN0b3MsIGxhIEVzY3VlbGEgYWN0w7phIGNvbW8gdW4gdGVyY2VybyBkZSBidWVuYSBmZS4KVG9kYSBwZXJzb25hIHF1ZSBjb25zdWx0ZSBlbCBSZXBvc2l0b3JpbyBJbnN0aXR1Y2lvbmFsIGRlIGxhIEVzY3VlbGEsIGVsIENhdMOhbG9nbyBlbiBsw61uZWEgdSBvdHJvIG1lZGlvIGVsZWN0csOzbmljbywgCnBvZHLDoSBjb3BpYXIgYXBhcnRlcyBkZWwgdGV4dG8sIGNvbiBlbCBjb21wcm9taXNvIGRlIGNpdGFyIHNpZW1wcmUgbGEgZnVlbnRlLCBsYSBjdWFsIGluY2x1eWUgZWwgdMOtdHVsbyBkZWwgdHJhYmFqbyB5IGVsIAphdXRvci5Fc3RhIGF1dG9yaXphY2nDs24gbm8gaW1wbGljYSByZW51bmNpYSBhIGxhIGZhY3VsdGFkIHF1ZSB0ZW5nbyBkZSBwdWJsaWNhciB0b3RhbCBvIHBhcmNpYWxtZW50ZSBsYSBvYnJhIGVuIG90cm9zIAptZWRpb3MuRXN0YSBhdXRvcml6YWNpw7NuIGVzdMOhIHJlc3BhbGRhZGEgcG9yIGxhcyBmaXJtYXMgZGVsIChsb3MpIGF1dG9yKGVzKSBkZWwgZG9jdW1lbnRvLiAKU8OtIGF1dG9yaXpvIChhbWJvcykK |