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Macroeconomic Determinants Of Stock Market Returns Volatility And Volatility Risk Premia
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Book Synopsis Macroeconomic Determinants of Stock-market Returns, Volatility and Volatility Risk-premia by : Valentina Corradi
Download or read book Macroeconomic Determinants of Stock-market Returns, Volatility and Volatility Risk-premia written by Valentina Corradi and published by . This book was released on 2008 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomics Determinants of Stock Market Returns, Volatility and Volatility Risk-premia by : Valentina Corradi
Download or read book Macroeconomics Determinants of Stock Market Returns, Volatility and Volatility Risk-premia written by Valentina Corradi and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-premiums by : Valentina Corradi
Download or read book Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-premiums written by Valentina Corradi and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis Determinants of Stock Market Volatility and Risk Premia by : Mordecai Kurz
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:
Book Synopsis Determinants of Stock Market Volatility and Risk Premia by : Mordecai Kurz
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:
Book Synopsis Macroeconomic News, Time-varying Risk Factors, and Time-varying Risk Premia by : Alexandre Vézina
Download or read book Macroeconomic News, Time-varying Risk Factors, and Time-varying Risk Premia written by Alexandre Vézina and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The basic purpose of this paper is to investigate the sources of time-varying risk premia for both the U.S. stock and bond markets. In addition, we look at the sources of time-varying conditional variance and conditional covariance of these two markets. Although a large literature has emerged on the return and volatility of any of the two markets, few studies propose a model in which both markets are modeled together. Moreover, after all the research done, the reasons explaining the causes of the volatility of any of the two markets remain unclear. What we propose in this paper is a model that considers both markets' volatility simultaneously. Our model captures the change in the risk premium, if any, to each market's own volatility risk as well as to the covariance risk for specific events. More specifically, we investigate if macroeconomic news is a source of time-varying volatility as well as time-varying covariance, and whether these results in time-varying risk premia in either of the markets. We find that stocks, as opposed to bonds, mainly exhibit a change in the risk premium on variance risk. The results suggest that most of the change is due to the PPI announcements. Our models also indicate that there is a change in the bond risk premium on covariance risk on macroeconomic news announcement dates. Finally, linear regressions show that employment reports and PPI releases are a source of time-varying conditional variance for stock, notes and bond returns.
Book Synopsis Stock Market Volatility and Corporate Investment by : Zuliu Hu
Download or read book Stock Market Volatility and Corporate Investment written by Zuliu Hu and published by International Monetary Fund. This book was released on 1995-10-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment over and above that of stock returns. Volatility and its changes are negatively related to investment growth. To the extent volatility depresses fixed capital formation and hence future income growth, the results suggest the desirability of reducing stock market volatility.
Book Synopsis The Equity Risk Premium by : William N. Goetzmann
Download or read book The Equity Risk Premium written by William N. Goetzmann and published by Oxford University Press. This book was released on 2006-11-16 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
Book Synopsis The Risk Premium Factor by : Stephen D. Hassett
Download or read book The Risk Premium Factor written by Stephen D. Hassett and published by John Wiley & Sons. This book was released on 2011-08-31 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: A radical, definitive explanation of the link between loss aversion theory, the equity risk premium and stock price, and how to profit from it The Risk Premium Factor presents and proves a radical new theory that explains the stock market, offering a quantitative explanation for all the booms, busts, bubbles, and multiple expansions and contractions of the market we have experienced over the past half-century. Written by Stephen D. Hassett, a corporate development executive, author and specialist in value management, mergers and acquisitions, new venture strategy, development, and execution for high technology, SaaS, web, and mobile businesses, the book convincingly demonstrates that the equity risk premium is proportional to long-term Treasury yields, establishing a connection to loss aversion theory. Explains stock prices from 1960 through the present including the 2008/09 "market meltdown" Shows how the S&P 500 has consistently reverted to values predicted by the model Solves the equity premium puzzle by showing that it is consistent with findings on loss aversion Demonstrates that three factors drive valuation and stock price: earnings, long term growth, and interest rates Understanding the stock market is simple. By grasping the simplicity, business leaders, corporate decision makers, private equity, venture capital, professional, and individual investors will fully understand the system under which they operate, and find themselves empowered to make better decisions managing their businesses and investment portfolios.
Book Synopsis Stock Market Volatility and Economic Factors by : John J. Binder
Download or read book Stock Market Volatility and Economic Factors written by John J. Binder and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the ability of rational economic factors to explain stock market volatility. A simple model of the economy under uncertainty identifies four determinants of stock market volatility: uncertainty about the price level, the riskless rate of interest, the risk premium on equity and the ratio of expected profits to expected revenues in the economy. In initial tests these variables have significant explanatory power and account for over 50 percent of the variation in market volatility from 1929 to 1989. When the regression coefficients are allowed to vary over time using the Spath cluster regression, the four factors explain over 90 percent of the variation in market volatility. The results are useful in explaining the past behavior of stock market volatility and in forecasting future volatility.
Book Synopsis Harvesting Macroeconomic Risk Premia by : Kyriakos Chousakos
Download or read book Harvesting Macroeconomic Risk Premia written by Kyriakos Chousakos and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors measure the aggregate state of the economy using variables motivated by the macro-finance literature. In particular, they focus on three specific measures: macro-growth, fragility, and volatility. Macro-growth, a procyclical measure, combines information from a series of macroeconomic variables related to economic growth. Fragility, a procyclical measure, is a proxy for the distance to default of the median firm in the economy. Volatility, a countercyclical measure, summarizes the volume of information produced by investors in equity markets. The authors find that these variables are associated with economically large risk premia, which can be harvested using portfolios composed of stocks, global index exchange-traded funds (ETFs), and cross-asset ETFs. Long-short equity portfolios with exposures to macro-growth, fragility, and volatility earn 5.43%, 2.26%, and -2.40% per annum, respectively. Traded versions of the three factors expand the efficient frontier in the factor space, allowing for significant improvements in risk-adjusted performance.
Book Synopsis The Macroeconomic Determinants and Volatility of Stock Market Returns by :
Download or read book The Macroeconomic Determinants and Volatility of Stock Market Returns written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Expected Stock Returns and Variance Risk Premia by : Tim Bollerslev
Download or read book Expected Stock Returns and Variance Risk Premia written by Tim Bollerslev and published by . This book was released on 2007 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Volatility written by Robert A. Jarrow and published by . This book was released on 1998 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Book Synopsis Time-varying Risk Premia, Sources of Macroeconomic Risk, and Aggregate Stock Market Behavior by : Massimiliano De Santis
Download or read book Time-varying Risk Premia, Sources of Macroeconomic Risk, and Aggregate Stock Market Behavior written by Massimiliano De Santis and published by . This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Determinants of the Model-Free Positive and Negative Volatilities by : Mattia Bevilacqua
Download or read book The Determinants of the Model-Free Positive and Negative Volatilities written by Mattia Bevilacqua and published by . This book was released on 2019 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we analyze the role of macroeconomic and financial determinants in explaining stock market volatilities in the U.S. market. Both implied and realized volatility are computed model-free and decomposed into positive and negative components, thereby allowing us to compute directional volatility risk premia. We capture the behavior of each component of implied volatility and risk premium in relation to their different determinants. The negative implied volatility appears to be linked more towards financial conditions variables such as uncertainty and geopolitical risk indexes, whereas positive implied volatility is driven more by macro variables such as inflation and GDP. There is a clear shift in importance from macro towards financial determinants moving from the pre towards the post financial crisis. A mixed frequency Granger causality approach uncovers causality relationships between volatilities and risk premia and macro variables and vice versa, a finding which is not detected with a conventional low frequency VAR model.
