The least squares estimator for β in the classical linear regression model is strongly efficient
under certain conditions. However, in the presence of heavy-tailed errors and/or anomalous …

This paper characterizes the function relating the number of new shares issued by a firm to
the resulting change in the firm's stock price, when insiders are asymmetrically informed. We …

In this paper we argue that when there is small probability of an event which would cause a
large change in an exchange rate, the standard tests for the efficiency of the corresponding …

This paper contains an empirical investigation of the rate of return to storing wine. The view
commonly expressed in the wine literature that this return is very large is found to be …

This paper addresses the problem of estimating unknown regression coefficients when
erroneous data and other violations of the standard assumptions are possible. An estimator …

Publisher Summary This chapter focuses on resistant estimation procedures and methods
for evaluating the impact of particular data elements on regression estimates. Model builders …

We consider a regression in which one of the observed variables is a proxy for some
unobserved "true" variable. Given a lower bound for the correlation between the proxy and the …

Futures markets provide an effective way to hedge financial exposure. Deciding upon the
appropriate number of contracts to buy or sell is easy if a contract is traded in exactly the same …

One of the most common tenets of investing holds that the asset with the highest expected
return over the long run is virtually certain to provide superior performance. Thus investors are …

IN THIS PAPER we present a weighted-instrumental-variables estimator that is resistant2 to
heavy-tailed errors, aberrant data in either the endogenous or exogenous variables, and …