The Robustness of the Volatility Factor:<i>Linear versus Nonlinear Factor Model</i>

Franco, Carmine De; Guidolin, Massimo; Monnier, Bruno

doi:10.3905/jii.2017.8.3.075

Cited by 6 publications

(1 citation statement)

References 32 publications

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“…As noted by Tierney (1994), the answer depends largely on the specific algorithms employed to implement the sampling process and how consistent the data are with the presumed underlying data generating process. In a study of financial market indices, de Franco et al (2017) find that 20,000 draws are more than sufficient, whereas LeSage and Pace (2018) suggest, although do not test, that 1000 draws may be sufficient. For this study, we use 25,000 draws and to minimize the risk associated with poor starting values, we remove or “throw away” the first 1000 draws from the analysis (i.e., a burn‐in rate of 1000).…”

Section: Empirical Model and Statistical Methodsmentioning

confidence: 97%

Rural broadband speeds and business startup rates

Deller

Whitacre

Conroy

2021

American J Agri Economics

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Using 2014 U.S. nonmetropolitan county-level data, we explore the relationship between broadband speeds and business startup rates. Rural development policy discussions have presumed that access to broadband has become a necessary, although not sufficient, condition for economic growth and development.The relationship between broadband access on business startups, which are vital to local economic vibrancy, may be key to understanding the link between broadband and growth. In this study, we explore how qualitative features of broadband influence startup rates across different types of industries. To refine our insights into these relationships, we look at broadband by speed (both download and upload coverage across four speed categories). We also consider the importance of mobile broadband availability, which is often ignored in empirical studies. Because of the presence of spatial dependency within the data and the fact that data on business startup rates is limited to the minority of establishments that have employees, we use a Bayesian spatial Tobit estimator. After controlling for a host of variables likely to influence economic growth, we find that broadband coverage does matter and that download speeds tend to be more important than upload speeds. This pattern holds for mobile coverage as well. Perhaps the most important finding is that the results vary across business type: what matters for new businesses in one industry may not matter for other industry classifications. In the end, our results reaffirm the policy notion that access to broadband is increasingly relevant to rural entrepreneurship.

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Section: Empirical Model and Statistical Methodsmentioning

confidence: 97%

Rural broadband speeds and business startup rates

Deller

Whitacre

Conroy

2021

American J Agri Economics

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A Multifactor Perspective on Volatility‐Managed Portfolios

DeMIGUEL,

MARTÍN‐UTRERA,

UPPAL

2024

The Journal of Finance

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Moreira and Muir question the existence of a strong risk‐return trade‐off by showing that investors can improve performance by reducing exposure to risk factors when their volatility is high. However, Cederburg et al. show that these strategies fail out‐of‐sample, and Barroso and Detzel show they do not survive transaction costs. We propose a conditional multifactor portfolio that outperforms its unconditional counterpart even out‐of‐sample and net of costs. Moreover, we show that factor risk prices generally decrease with market volatility. Our results demonstrate that the breakdown of the risk‐return trade‐off is more puzzling than previously thought.

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