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Persistence Of Volatility And Stock Market Fluctuations And Expected Stock Returns And Volatility
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Book Synopsis Persistence of Volatility and Stock Market Fluctuations and Expected Stock Returns and Volatility by :
Download or read book Persistence of Volatility and Stock Market Fluctuations and Expected Stock Returns and Volatility written by and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: These data and/or computer programs are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the INVESTIGATOR(S) if further information is desired.
Book Synopsis The Persistence of Volatility and Stock Market Fluctuations by : James M. Poterba
Download or read book The Persistence of Volatility and Stock Market Fluctuations written by James M. Poterba and published by . This book was released on 1984 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the potential influence of changing volatility in stock market prices on the level of stock market prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected required rates of return for relatively short intervals. These findings lead us to be skeptical of recent claims that the stock market's poor performance during the 1970's can be explained by volatility-induced increases in risk premia.
Book Synopsis The Persistence and Implied Persistence of Volatility of Stock Returns by : Chowdhury B. A. Mustafa
Download or read book The Persistence and Implied Persistence of Volatility of Stock Returns written by Chowdhury B. A. Mustafa and published by . This book was released on 1988 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Persistence and Implied Persistence of Volatility of Stock Returns by : Chowdhury B. Mustafa
Download or read book The Persistence and Implied Persistence of Volatility of Stock Returns written by Chowdhury B. Mustafa and published by . This book was released on 1988 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Persistence of Volatility and Stock Fluctuations by : James M. Poterba
Download or read book The Persistence of Volatility and Stock Fluctuations written by James M. Poterba and published by . This book was released on 1984 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Market Volatility by : Greg N. Gregoriou
Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Book Synopsis Beast on Wall Street by : Robert A. Haugen
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 170 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.
Book Synopsis Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations by : Stefan Avdjiev
Download or read book Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations written by Stefan Avdjiev and published by . This book was released on 2010 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volume and the Nonlinear Dynamics of Stock Returns by : Chiente Hsu
Download or read book Volume and the Nonlinear Dynamics of Stock Returns written by Chiente Hsu and published by Springer. This book was released on 1998-03-18 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is about the joint dynamics of stock returns and trading volume. We propose a dynamic equilibrium model in which agents have rational expectations and are heterogeneous in their investment opportunity. The dynamics of stock returns and trading volume implied by the model can explain the main empirical regularities found in high frequency stock data: (i) Time varying volatility. (ii) Positive volume-volatility relation. (iii) Ambiguous volume-persistance relation. Finally, the model is tested using efficient method of moments.
Book Synopsis Portfolio Investment Flows to Emerging Markets by : Sudarshan Gooptu
Download or read book Portfolio Investment Flows to Emerging Markets written by Sudarshan Gooptu and published by World Bank Publications. This book was released on 1993 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Market Fluctuations and the Term Structure by : Chunsheng Zhou
Download or read book Stock Market Fluctuations and the Term Structure written by Chunsheng Zhou and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses the term structure of interest rates to explain the variations of stock prices and stock returns. It shows that interest rates have an important impact on stock returns, especially at long horizons. The hypothesis that expected stock returns move one-for-one with ex ante interest rates, which has been rejected strongly in other studies using short horizon data, is supported by long horizon data. The paper proposes, for the first time, a single measure--the present value of forward interest rates--to summarize the information of the term structure that is useful in characterizing the comovements of the equity market and the bond market, and finds that such a single measure explains a significant part of variation in dividend-price ratios. The paper also suggests that the high volatility of the stock market is related to the high volatility of long-term bond yields and may be accounted for by changing forecasts of discount rates. The findings of this paper are quite different from the typical findings of the previous work and may provide a reasonable economic explanation for the predictability of long-horizon stock returns.
Book Synopsis The Effect of Long Memory in Volatility on Stock Market Fluctuations by : M. Ørregaard Nielsen
Download or read book The Effect of Long Memory in Volatility on Stock Market Fluctuations written by M. Ørregaard Nielsen and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Volatility of Stock Returns With Volatile and Persistent Components by : Jie Zhu
Download or read book Pricing Volatility of Stock Returns With Volatile and Persistent Components written by Jie Zhu and published by . This book was released on 2007 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper a two-component model is suggested to describe the dynamics of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. The model is then implemented to ten Asian-Pacific stock markets. The empirical results show that the persistent component accounts much more for volatility dynamic process than the volatile component. However the volatile component is found to be a significant price factor in asset returns for all markets, yet the persistent component is not significantly priced for the return generating process.
Author :A. R. Pagan Publisher :London : Centre for Decision Sciences and Econometrics, University of Western Ontario ISBN 13 : Total Pages :52 pages Book Rating :4.X/5 (1 download)
Book Synopsis The Econometric Analysis of Models with Risk Terms by : A. R. Pagan
Download or read book The Econometric Analysis of Models with Risk Terms written by A. R. Pagan and published by London : Centre for Decision Sciences and Econometrics, University of Western Ontario. This book was released on 1986 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Permanent and Transitory Component Model of Stock Return Volatility by : Gary G. J. Lee
Download or read book A Permanent and Transitory Component Model of Stock Return Volatility written by Gary G. J. Lee and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we develop a statistical unobserved component model for stock market volatility. The volatility, which is measured by the conditional variance of stock returns, is decomposed into a permanent or long-run and a transitory or short-run component. The transitory component is mean- reverting towards the trend component. Analysis of US and Japanese stock data supports the decomposition and reinforce the common finding in the literature of persistent stock return volatility. The component model is successful in describing the effect of the quot;October 87 Crashquot; on stock volatility changes. We hypothesize that the leverage effect as discussed in Black (1976) and Christie (1982) is a short- run phenomenon in the stock market and there is no asymmetric structure of volatility in the long run. The data strongly supports this hypothesis for US and Japanese stock indices.
Book Synopsis Why are Stock Returns and Volatility Negatively Correlated? by : Jinho Bae
Download or read book Why are Stock Returns and Volatility Negatively Correlated? written by Jinho Bae and published by . This book was released on 2007 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The literature documents that low stock returns are associated with increased volatility, but two competing explanations have proved difficult to disentangle. A negative return increases leverage making equity value more volatile. However, volatility feedback increases the risk premium when a surprise rise in volatility is expected to persist. We follow Bekaert and Wu (2000) in controlling for leverage, but distinguish between volatility regimes that persist from less persistent changes using GARCH. Supporting volatility feedback, we find changes in volatility regime are reflected in stock returns, but not GARCH. Further, variation in leverage is not important in explaining volatility dynamics.
Book Synopsis Strategic Asset Allocation by : John Y. Campbell
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
