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  1. When does monetary policy sway house prices?
    a meta-analysis
    Autor*in: Ehrenbergerova, Dominika; Bajzik, Josef; Havránek, Tomáš
    Erschienen: [2021]
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    Several central banks have leaned against the wind in the housing market by increasing the policy rate preemptively to prevent a bubble. Yet the empirical literature provides mixed results on the impact of short-term interest rates on house prices:... mehr

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    DS 167
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    Several central banks have leaned against the wind in the housing market by increasing the policy rate preemptively to prevent a bubble. Yet the empirical literature provides mixed results on the impact of short-term interest rates on house prices: the estimated semi-elasticities range from -12 to positive values. To assign a pattern to these differences, we collect 1,447 estimates from 31 individual studies that cover 45 countries and 69 years. We then relate the estimates to 39 characteristics of the financial system, business cycle, and estimation approach. Our main results are threefold. First, the mean reported estimate is exaggerated by publication bias, because insignificant results are underreported. Second, omission of important variables (liquidity and long-term rates) likewise exaggerates the effects of short-term rates on house prices. Third, the effects are stronger in countries with more developed mortgage markets and generally later in the cycle when the yield curve is flat and house prices enter an upward spiral.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/247384
    Schriftenreihe: IES working paper ; 2021, 17
    Schlagworte: Interest rates; house prices; monetary policy transmission; meta-analysis; publication bias; Bayesian model averaging
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  2. People are less risk-averse than economists think
    Autor*in: Elminejad, Ali; Havránek, Tomáš; Havránková, Zuzana
    Erschienen: [2022]
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    We collect 1,021 estimates from 92 studies that use the consumption Euler equation to measure relative risk aversion and that disentangle it from intertemporal substitution. We show that calibrations of risk aversion are typically larger than... mehr

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    We collect 1,021 estimates from 92 studies that use the consumption Euler equation to measure relative risk aversion and that disentangle it from intertemporal substitution. We show that calibrations of risk aversion are typically larger than estimates thereof. Moreover, reported estimates are typically larger than the underlying risk aversion because of publication bias. After correction for the bias, the literature suggests a mean risk aversion of 1 in economics and 2-7 in finance contexts. The reported estimates are systematically driven by the characteristics of data (frequency, dimension, country, stockholding) and utility (functional form, treatment of durables). To obtain these results we use nonlinear techniques to correct for publication bias and Bayesian model averaging techniques to account for model uncertainty.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
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    Weitere Identifier:
    hdl: 10419/265200
    Schriftenreihe: IES working paper ; 2022, 14
    Schlagworte: Euler equation; risk aversion; Epstein-Zin preferences; meta-analysis; publication bias; Bayesian model averaging
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  3. Hedge fund performance
    a quantitative survey
    Autor*in: Yang, Fan; Havránek, Tomáš; Havránková, Zuzana; Novák, Jiri
    Erschienen: [2022]
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    We provide the first quantitative survey of the empirical literature on hedge fund per- formance. We examine the impact of potential biases on the reported results. Empirical analysis in prior studies has been plagued by fragmentation of underlying... mehr

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    We provide the first quantitative survey of the empirical literature on hedge fund per- formance. We examine the impact of potential biases on the reported results. Empirical analysis in prior studies has been plagued by fragmentation of underlying data and by lim- ited consensus on how hedge fund performance should be measured. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the "alphas") collected from 74 studies published between 2001 and 2021 we show that inferences about hedge fund returns are not significantly contaminated by publication selection bias. Most of our monthly alpha estimates adjusted for the (small) bias fall within a relatively narrow range of 30 to 40 basis points. Considering several partitions of our sample, we document a modest publication bias only for estimates based on instrumental variables (IV), for which relatively large standard errors are common and that tend to be less precise. In contrast, studies that explicitly control for the potential biases in the underlying data (e.g. the back- filling bias and the survivorship bias) report lower alphas. Our results demonstrate that despite the prevalence of the publication selection bias in numerous other research settings, publication may not be selective when there is no strong a priori theoretical prediction about the sign of estimated coefficients, which may induce greater readiness to publish statistically insignificant results.

     
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    hdl: 10419/265201
    Schriftenreihe: IES working paper ; 2022, 15
    Schlagworte: Hedge funds; meta-analysis; publication bias
    Umfang: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  4. Financial incentives and performance
    a meta-analysis of economics evidence
    Autor*in: Cala, Petr; Havránek, Tomáš; Havránková, Zuzana; Matousek, Jindrich; Novák, Jiri
    Erschienen: [2022]
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    Standard economics models require that financial incentives improve performance, while leading theories in psychology allow for the opposite. Experimental results are mixed, and so far have not been corrected for publication bias and model... mehr

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    Standard economics models require that financial incentives improve performance, while leading theories in psychology allow for the opposite. Experimental results are mixed, and so far have not been corrected for publication bias and model uncertainty. We collect 1,568 economics estimates together with 46 factors capturing the context in which the estimates were obtained. We use novel nonlinear techniques to correct for publication bias and em- ploy Bayesian model averaging to account for model uncertainty. The corrected estimates are zero or tiny across contexts of field experiments, including differences in performance measurement, task definition, reward size and framing, motivation beyond money, subject pool, and estimation technique. Laboratory experiments produce statistically significant estimates on average after correction for publication bias, but even there the effect is weak. Experimental economics evidence is inconsistent with standard economics models.

     
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    Weitere Identifier:
    hdl: 10419/286323
    Schriftenreihe: IES working paper ; 2022, 27
    Schlagworte: incentives; experiments; meta-analysis; model uncertainty; publication bias
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  5. Meta-analysis of social science research
    a practitioner's guide
    Autor*in: Havránková, Zuzana; Doucouliagos, Chris; Havránek, Tomáš; Stanley, Tom D.
    Erschienen: [2023]
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    This paper provides concise, nontechnical, step-by-step guidelines on how to conduct a modern meta-analysis, especially in social sciences. We treat publication bias, p-hacking, and heterogeneity as phenomena meta-analysts must always confront. To... mehr

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    DS 167
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    This paper provides concise, nontechnical, step-by-step guidelines on how to conduct a modern meta-analysis, especially in social sciences. We treat publication bias, p-hacking, and heterogeneity as phenomena meta-analysts must always confront. To this end, we provide concrete methodological recommendations. Meta-analysis methods have advanced notably over the last few years. Yet many meta-analyses still rely on outdated approaches, some ignoring publication bias and systematic heterogeneity. While limitations persist, recently developed techniques allow robust inference even in the face of formidable problems in the underlying empirical literature. The purpose of this paper is to summarize the state of the art in a way accessible to aspiring meta-analysts in any field. We also discuss how meta-analysts can use advances in artificial intelligence to work more efficiently.

     
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    Sprache: Englisch
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    Weitere Identifier:
    hdl: 10419/286354
    Schriftenreihe: IES working paper ; 2023, 25
    Schlagworte: meta-analysis; publication bias; p-hacking; artificial intelligence; model uncertainty
    Umfang: 1 Online-Ressource (circa 35 Seiten)
  6. Publication bias and model uncertainty in measuring the effect of class size on achievement
    Autor*in: Opatrny, Matej; Havránek, Tomáš; Havránková, Zuzana; Scasny, Milan
    Erschienen: [2023]
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    Class size reduction mandates are frequent and invariably justified by studies reporting positive effects on student achievement. Yet other studies report no effects, and the literature as a whole awaits correction for potential publication bias.... mehr

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    Class size reduction mandates are frequent and invariably justified by studies reporting positive effects on student achievement. Yet other studies report no effects, and the literature as a whole awaits correction for potential publication bias. Moreover, if identification drives results systematically, the relevance of individual studies will vary. We build a sample of 1,767 estimates collected from 62 studies and for each estimate codify 42 factors reflecting estimation context. We employ recently developed nonlinear techniques for publication bias correction and Bayesian model averaging techniques that address model uncertainty. The results suggest publication bias among studies featured in top five economics journals, but not elsewhere. The implied class size effect is zero for all identification approaches except Tennessee's Student/Teacher Achievement Ratio project. The effect remains zero for disadvantaged students and across subjects, school types, and countries.

     
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    hdl: 10419/286348
    Schriftenreihe: IES working paper ; 2023, 19
    Schlagworte: Class size; student learning; meta-analysis; publication bias; Bayesian model averaging
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  7. Beauty and professional success
    a meta-analysis
    Autor*in: Bortnikova, Kseniya; Havránek, Tomáš; Havránková, Zuzana
    Erschienen: 08 April 2024
    Verlag:  Centre for Economic Policy Research, London

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    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP18978
    Schlagworte: Beauty premium; productivity; meta-analysis; model uncertainty; publication bias
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  8. Beauty and professional success
    a meta-analysis
    Autor*in: Bortnikova, Kseniya; Havránek, Tomáš; Havránková, Zuzana
    Erschienen: [2024]
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    Common wisdom suggests that beauty helps in the labor market. We show that two factors combine to explain away the mean beauty premium reported in the literature. First, correcting for publication bias reduces the premium by at least a third. Second,... mehr

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    Common wisdom suggests that beauty helps in the labor market. We show that two factors combine to explain away the mean beauty premium reported in the literature. First, correcting for publication bias reduces the premium by at least a third. Second, controlling for cognitive ability negates the premium for all occupations except sex workers, a point further underscored by the similarity of the beauty effect on earnings and productivity. The second factor implies a positive link, perhaps genetic, between beauty and intelligence. We find little evidence of substantial attenuation bias that could offset publication and omitted- variable biases. The empirical literature is inconsistent with discrimination based solely on tastes for beauty. To obtain these results we collect 1,159 estimates of the effect of beauty on earnings or productivity reported in 67 studies and codify 33 aspects that reflect estimation context, including the potential intensity of attenuation bias. We employ recently developed techniques to account for publication bias and model uncertainty.

     
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    Schriftenreihe: IES working paper ; 2024, 14
    Schlagworte: energy Beauty premium; productivity; meta-analysis; model uncertainty; publication bias
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  9. Do shareholder activism announcements affect stock prices?
    a meta-analysis
    Autor*in: Bajzík, Josef; Havránek, Tomáš; Havránková, Zuzana; Novák, Jiri
    Erschienen: [2023]
    Verlag:  Czech National Bank, Economic Research Division, Praha, Czech Republic

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    Schriftenreihe: Working paper series / Czech National Bank ; 2023, 17
    Schlagworte: Meta-analysis; model averaging; price response; publication bias; shareholderactivism; value created
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  10. Does shareholder activism create value?
    a meta-analysis
    Autor*in: Bajzík, Josef; Havránek, Tomáš; Havránková, Zuzana; Novák, Jiri
    Erschienen: 20 June 2023
    Verlag:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Standort:
    Universitätsbibliothek Mannheim
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    Schriftenreihe: Array ; DP18233
    Schlagworte: Shareholder activism; price response; value created; meta-analysis; publication bias; model averaging
    Umfang: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  11. Publication bias and model uncertainty in measuring the effect of class size on achievement
    Autor*in: Opatrny, Matej; Havránek, Tomáš; Havránková, Zuzana; Scasny, Milan
    Erschienen: 24 May 2023
    Verlag:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Schriftenreihe: Array ; DP18159
    Schlagworte: Class size; student learning; meta-analysis; publication bias; Bayesian model averaging
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen