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Variance Decomposition (variance + decomposition)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Terms modified by Variance Decomposition

  • variance decomposition analysis
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    Selected Abstracts

    Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis

    FINANCIAL REVIEW, Issue 4 2003
    Jian Yang
    G15/G32 Abstract This study examines the market segmentation and information asymmetry patterns in Chinese stock markets. The recursive cointegration analysis confirms that each of six markets is not linked with other markets in the long run. Further, the result from data-determined forecast error variance decomposition clearly shows that foreign investors in the Shanghai B-share market are better informed than Chinese domestic investors in two A-share markets and foreign investors in Shenzhen and Hong Kong markets over time. The finding challenges a widespread assumption of less informed foreign investors in the literature, but suggests that foreign investors could be more informed in emerging markets. [source]

    Automated explanation of financial data

    INTELLIGENT SYSTEMS IN ACCOUNTING, FINANCE & MANAGEMENT, Issue 1-2 2009
    H. A. M. Daniels
    We describe a methodology for explanation generation in financial knowledge-based systems. This offers the possibility to generate explanations and diagnostics automatically to support business decision tasks. The central goal is the identification of specific knowledge structures and reasoning methods required to construct computerized explanations from financial data and models. A multistep look-ahead algorithm is proposed that deals with so-called cancelling-out effects, which are a common phenomenon in financial data sets. Our method is an extension of the traditional variance decomposition in accounting. The method was tested on a case-study conducted for Statistics Netherlands involving the comparison of financial figures of firms in the Dutch retail branch. Copyright © 2009 John Wiley & Sons, Inc. [source]

    Domestic and Foreign Earnings, Stock Return Variability, and the Impact of Investor Sophistication

    JOURNAL OF ACCOUNTING RESEARCH, Issue 3 2005
    JEFFREY L. CALLEN
    ABSTRACT We examine the importance of foreign earnings relative to domestic earnings for a sample of U.S. multinationals using variance decomposition. Our methodology represents an alternative and complementary approach over the prior literature, which is based on traditional regressions and earnings response coefficients. We document that domestic earnings are more important in explaining the variance of unexpected returns than are foreign earnings and that the relative importance of domestic earnings is a decreasing function of investor sophistication. Last, we classify institutional investors as either short- or long-term oriented following Bushee [1998]. We find that the variance contribution of foreign earnings increases with the level of investment by long-term investors. In contrast, there is no significant relation between the degree of ownership by short-term (or transient) investors and the variance contribution of domestic and foreign earnings. Overall, our results are consistent with Thomas's [1999] finding that investors on average underestimate the persistence of foreign earnings. [source]

    Exploring the impact of R&D and climate change on agricultural productivity growth: the case of Western Australia,

    AUSTRALIAN JOURNAL OF AGRICULTURAL & RESOURCE ECONOMICS, Issue 4 2010
    Ruhul A. Salim
    This article empirically examines the impact of R&D and climate change on the Western Australian Agricultural sector using standard time series econometrics. Based on historical data for the period of 1977,2005, the empirical results show that both R&D and climate change matter for long-run productivity growth. The long-run elasticity of total factor productivity (TFP) with respect to R&D expenditure is 0.497, while that of climate change is 0.506. There is a unidirectional causality running from R&D expenditure to TFP growth in both the short run and long run. Further, the variance decomposition and impulse response function confirm that a significant portion of output and productivity growth beyond the sample period is explained by R&D expenditure. These results justify the increase in R&D investment in the deteriorating climatic condition in the agricultural sector to improve the long-run prospects of productivity growth. [source]

    Real exchange rate fluctuations and monetary shocks: a revisit

    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 1 2004
    Shiu-Sheng Chen
    Abstract In this paper, I first estimate a structural VAR model by following Clarida and Gali (1994) and obtain results indicating that the variance of real exchange rates can be attributed more to monetary shocks when the sample span is extended. In order to further investigate this aspect, I then employ a VAR model with long-run US,UK annual data from 1889 to 1995. According to the variance decompositions, I find that monetary shocks can explain nearly 50% of real exchange rate variance in the long-run sample periods. All the evidence suggests that monetary shocks are indeed more important in a larger sample set. Copyright © 2003 John Wiley & Sons, Ltd. [source]