Title:Pitfalls in cross-section studies with integrated regressors : a survey and new developments Author(s):BEKIROS, Stelios D.; SJÖ, Bo; SWEENEY, Richard J.Date:2018Citation:
- Journal of economic surveys, 2018, Vol. 32, No. 4, pp. 1045-1073
Type:ArticleAbstract:In cross-section studies, if the dependent variable is I(0) but the regressor is I(1), the true slope must be zero in the resulting unbalanced regression. A spuriously significant relationship may be found in large ...
Title:Revisiting the three factor model in light of circular behavioural simultaneities Author(s):BEKIROS, Stelios D.; LOUKERIS, Nikolaos; ELEFTHERIADIS, Iordanis; UDDIN, Gazi SalahDate:2018Citation:
- Review of behavioral finance, 2018, Vol. 10, No. 3, pp. 210-230
Type:ArticleAbstract:Purpose The authors construct asset portfolios comprising small-sized companies and value stocks that provide with higher returns for the UK market based on a three-factor model with incorporated behavioural features. The ...