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Author : Seak Yau Loh
Publisher :
ISBN 13 :
Total Pages : 100 pages
Book Rating : 4.:/5 (969 download)
Download or read book An Analysis of Some Determinants of Stock Price Volatility in the U.S. Market written by Seak Yau Loh and published by . This book was released on 1993 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mariana Mazzucato
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (248 download)
Download or read book The Determinants of Stock Price Volatility written by Mariana Mazzucato and published by . This book was released on 2001 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shoaib Shafiq
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783659190605
Total Pages : 128 pages
Book Rating : 4.1/5 (96 download)
Download or read book Stock Price Volatility written by Shoaib Shafiq and published by LAP Lambert Academic Publishing. This book was released on 2012-07 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock prices fluctuation has always been the crucial topic in the field of financial research. Various researchers around the world present their theories, model to make clarification about the determinants of stock prices. There are some models and theories efficient with regard to stock price determination, but the reliability of the model working in one market may not be the same in other market of the world. Most of the studies regarding the stock price volatility were conducted in context of advance countries so there is need to test the predictability power of models in context of developing countries like Pakistan. This book provides evidence with regard to the factors effecting the stock prices in oil and gas sector of Pakistan along with applicability of the famous model of Baskin and certain control variables suggested by the researchers around the world. This study also highlighted the importance of industry consideration in the stock price volatility analysis.
Author : Tanguy de Launois
Publisher : Presses univ. de Louvain
ISBN 13 : 2874631744
Total Pages : 275 pages
Book Rating : 4.8/5 (746 download)
Download or read book Information, Volatility and the Cost of Capital written by Tanguy de Launois and published by Presses univ. de Louvain. This book was released on 2009 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: We all have in mind a couple of dramatic examples of how information released by some economical or political entity resulted in tremendous consequences for a private company or, worst, for the whole financial market. This is the purpose of this dissertation to investigate the relations between information,stock volatility and the cost of capital. After the extension of the standard CAPM model to a more realistic world where some investors are “constrained” and deviate from their optimal CAPM quantities, we confront our theoretical model to the empirical reality by investigating the so-called “index effect”. Thanks to econometric specifications robust to endogeneity, we test different hypotheses proposed by the literature to explain this well known value premium of firms belonging to large indices. In a next step, we investigate how the quality and quantity of micro and macro public signals impact the main determinants of our pricing equation initially developed. We show that in a world of constrained investors, firms benefiting from a high deviation have less incentive to communicate than others. Finally, we study the link between public information and conditional volatility thanks to an original sample of several tens of thousands of Reuters and Dow Jones news releases on both the French and US markets. Thanks to various econometric specifications like GARCH models and Markov Switching Regressions, we conclude that a larger daily number of news releases increases the probability to be in the high probability regime and that the impact ofinformation is strongly dependent on the topic and the timing of the release of this information.
Author : Frank K. Reilly
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (31 download)
Download or read book An Analysis of Factors that Influence Aggregate Stock Market Volatility written by Frank K. Reilly and published by . This book was released on 1979 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Matthias Kalkuhl
Publisher : Springer
ISBN 13 : 3319282018
Total Pages : 620 pages
Book Rating : 4.3/5 (192 download)
Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
Author : Mordecai Kurz
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (878 download)
Download or read book Determinants of Stock Market Volatility and Risk Premia written by Mordecai Kurz and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 9781557758521
Total Pages : 226 pages
Book Rating : 4.7/5 (585 download)
Download or read book International Capital Markets written by International Monetary Fund and published by International Monetary Fund. This book was released on 1999-09-24 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following a review and assessment of recent developments in capital market and banking systems, this year's International Capital Markets report reviews and assesses recent developments in mature and emerging financial markets and continues the analysis of key issues affecting global financial markets. It examines the systemic implications of the continued rapid development of the global over-the-counter derivatives markets and the expansion of foreign-owned banks into emerging markets. The report also analyzes market participants' assessments of the proposals for private sector involvement in the prevention and resolution crises.
Author : Mariana Mazzucato
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Market Share Instability and Stock Price Volatility During the Industry Life-Cycle written by Mariana Mazzucato and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Market share instability, during certain stages of the industry life-cycle, has become a stylized fact in the industrial organization literature. In the finance literature, volatility in the form of excess volatility, i.e. the much larger volatility of stock prices than dividends (although stock prices should in theory trace the present value of future dividends), has given rise to controversies regarding stock price determination (Campbell and Shiller, 1988; Shiller, 1989). Recent evolutionary models, both theoretical and empirical, have tied the presence of market share instability to industry specific variables, such as specific periods in the industry life-cycle and specific quot;technological regimesquot;. The object of the paper is to explore whether there is a relationship between market share instability and stock price volatility and to what degree this relationship is connected to the concept of the industry life-cycle, and hence to industry specific factors. To do so, we explore the relationship in one particular industry, the US automobile industry. Since neither life-cycle nor finance theories attack this problem directly, we use insights from both approaches to build hypotheses which guide the data analysis. The empirical results confirm many of these hypotheses, suggesting that the degree of excess volatility is indeed partly affected by industry specific factors.
Author : Paolo Saona Hoffmann
Publisher : BoD – Books on Demand
ISBN 13 : 1789234948
Total Pages : 151 pages
Book Rating : 4.7/5 (892 download)
Download or read book Firm Value written by Paolo Saona Hoffmann and published by BoD – Books on Demand. This book was released on 2018-08-01 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume aims to discuss the most contemporary state of the determinants of the firm value. This book presents theoretical works as well as empirical studies that contrast the arguments offered by the leading, ground-breaking theories on the firm value. What variables determine the firm value? Are these determinants controllable or uncontrollable by the managers of the companies? Is the impact of corporate governance systems on the firm value symmetrical between different institutional contexts? Do the financial reports affect the value of the firm? What role does corporate social responsibility play as a determinant of the firm value? These and other questions are analyzed and scrutinized step by step throughout this book.
Author : Robert A. Haugen
Publisher : Pearson
ISBN 13 :
Total Pages : 166 pages
Book Rating : 4.:/5 (321 download)
Download or read book Beast on Wall Street written by Robert A. Haugen and published by Pearson. This book was released on 1999 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.
Author : Mordecai Kurz
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (878 download)
Download or read book Determinants of Stock Market Volatility and Risk Premia written by Mordecai Kurz and published by . This book was released on 2003 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David E. Allen
Publisher :
ISBN 13 : 9781863422581
Total Pages : 36 pages
Book Rating : 4.4/5 (225 download)
Download or read book Dividend Policy and Stock Price Volatility written by David E. Allen and published by . This book was released on 1993 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark Watson
Publisher : Oxford University Press
ISBN 13 : 0199549494
Total Pages : 432 pages
Book Rating : 4.1/5 (995 download)
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Author : Robert J. Shiller
Publisher : MIT Press
ISBN 13 : 9780262691512
Total Pages : 486 pages
Book Rating : 4.6/5 (915 download)
Download or read book Market Volatility written by Robert J. Shiller and published by MIT Press. This book was released on 1992-01-30 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.
Author : J. Crémer
Publisher : Taylor & Francis
ISBN 13 : 1136469702
Total Pages : 119 pages
Book Rating : 4.1/5 (364 download)
Download or read book Models of the Oil Market written by J. Crémer and published by Taylor & Francis. This book was released on 2013-07-04 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists have proposed a large variety of models of the oil market and this survey integrates them in a coherent framework.
Author : Jean-Paul Chavas
Publisher : University of Chicago Press
ISBN 13 : 022612892X
Total Pages : 394 pages
Book Rating : 4.2/5 (261 download)
Download or read book The Economics of Food Price Volatility written by Jean-Paul Chavas and published by University of Chicago Press. This book was released on 2014-10-14 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.
