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Author : Chowdhury B. Mustafa
Publisher :
ISBN 13 :
Total Pages : 122 pages
Book Rating : 4.:/5 (753 download)
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:
Author : Chowdhury B. A. Mustafa
Publisher :
ISBN 13 :
Total Pages : 272 pages
Book Rating : 4.:/5 (318 download)
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:
Author : James M. Poterba
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.3/5 ( download)
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.
Author : Kai Li
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (248 download)
Download or read book Inferring Volatility Persistence from Option Implied Volatility written by Kai Li and published by . This book was released on 2001 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Author : James M. Poterba
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (254 download)
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:
Author : Andreas Fagereng
Publisher : International Monetary Fund
ISBN 13 : 1484370066
Total Pages : 69 pages
Book Rating : 4.4/5 (843 download)
Download or read book Heterogeneity and Persistence in Returns to Wealth written by Andreas Fagereng and published by International Monetary Fund. This book was released on 2018-07-27 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their financial assets (a standard deviation of 14%) and on their net worth (a standard deviation of 8%). Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth. Fourth, wealth returns exhibit substantial persistence over time. We argue that while this persistence partly reflects stable differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are (mildly) correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.
Author : Ajeet Jain
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book The Effect of Volatility Persistence on Excess Returns written by Ajeet Jain and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we examine the effect of volatility persistence in explaining excess returns in conjunction with established factors. We use an I-GARCH model to estimate volatility persistence for each company on the NYSE for each year between 1989 and 2014. We find that volatility persistence is significant in explaining excess returns for medium to high turnover portfolios. We also find a similar relationship for portfolios sorted on size. This study tries to disentangle the effects of various information asymmetry aspects in asset pricing and show that not only volatility itself but also its persistence is important in explaining returns.
Author : Jie Zhu
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)
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 : Wolfgang K. Härdle
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (13 download)
Download or read book Long Memory Persistence in the Factor of Implied Volatility Dynamics written by Wolfgang K. Härdle and published by . This book was released on 2017 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is summarized by a Dynamic Semiparametric Factor Model (DSFM) that characterizes the IV S itself and their movements across time by a multivariate time series of factor loadings. This paper focuses on investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very long time, affecting significantly stock prices. For appropriate representation of the series dynamics and the possibility of improved forecasting, we model the long memory in levels and absolute returns using the class of fractional integrated volatility models that provide flexible structure to capture the slow decaying autocorrelation function reasonably well.
Author : Yuming Li
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (129 download)
Download or read book Expected Returns and Habit Persistence written by Yuming Li and published by . This book was released on 2001 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a consumption-based asset pricing model with infinite-horizon nonlinear habit formation, Campbell and Cochrane (1999) show that low consumption in surplus of habit should forecast high expected returns. This article argues that the finite-horizon linear habit model also implies an inverse relation between expected returns and surplus consumption. This article also presents empirical evidence, which indicates that expected returns on stocks and bonds vary with surplus consumption implied by the habit models. The volatility of returns and the reward to volatility are also related to surplus consumption. However, less than 30 percent of the predictable variation of expected returns, using standard lagged information variables, is attributed to surplus consumption.
Author : John C. Cox
Publisher : Prentice Hall
ISBN 13 :
Total Pages : 518 pages
Book Rating : 4.3/5 (91 download)
Download or read book Options Markets written by John C. Cox and published by Prentice Hall. This book was released on 1985 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.
Author : Sana Mohsni
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Earnings, Idiosyncratic Volatility and Costs of Capital written by Sana Mohsni and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hersh Shefrin
Publisher :
ISBN 13 : 9780195161212
Total Pages : 410 pages
Book Rating : 4.1/5 (612 download)
Download or read book Beyond Greed and Fear written by Hersh Shefrin and published by . This book was released on 2002 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Even the best Wall Street investors make mistakes. No matter how savvy or experienced, all financial practitioners eventually let bias, overconfidence, and emotion cloud their judgement and misguide their actions. Yet most financial decision-making models fail to factor in these fundamentals of human nature. In Beyond Greed and Fear, the most authoritative guide to what really influences the decision-making process, Hersh Shefrin uses the latest psychological research to help us understand the human behavior that guides stock selection, financial services, and corporate financial strategy. Shefrin argues that financial practitioners must acknowledge and understand behavioral finance--the application of psychology to financial behavior--in order to avoid many of the investment pitfalls caused by human error. Through colorful, often humorous real-world examples, Shefrin points out the common but costly mistakes that money managers, security analysts, financial planners, investment bankers, and corporate leaders make, so that readers gain valuable insights into their own financial decisions and those of their employees, asset managers, and advisors. According to Shefrin, the financial community ignores the psychology of investing at its own peril. Beyond Greed and Fear illuminates behavioral finance for today's investor. It will help practitioners to recognize--and avoid--bias and errors in their decisions, and to modify and improve their overall investment strategies.
Author : Rachid Benlamri
Publisher : Springer
ISBN 13 : 3319434349
Total Pages : 790 pages
Book Rating : 4.3/5 (194 download)
Download or read book Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy written by Rachid Benlamri and published by Springer. This book was released on 2016-12-01 with total page 790 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume aims to outline the fundamental principles behind leadership, innovation and entrepreneurship and show how the interrelations between them promote business and trade practices in the global economy. Derived from the 2016 International Conference on Leadership, Innovation, and Entrepreneurship (ICLIE), this volume showcases original papers presenting current research, discoveries and innovations across disciplines such as business, social sciences, engineering, health sciences and medicine. The pace of globalization is increasing at a rapid rate and is primarily driven by increasing volume of trade, accelerating pace of competition among nations, freer flows of capital and increased level of cooperation among trading partners. Leadership, innovation, and entrepreneurship are key driving forces in enhancing this phenomenon and are among the major catalysts for contemporary businesses trading in the global economy. This conference and the enclosed papers provides a platform in which to disseminate and exchange ideas to promote a better understanding of current issues and solutions to challenges in the globalized economy in relation to the fields of entrepreneurship, business and economics, technology management, and Islamic finance and management. Thus, the theories, research, innovations, methods and practices presented in this book will be of use to researchers, practitioners, student and policy makers across the globe.
Author : Peter M. Robinson
Publisher : Advanced Texts in Econometrics
ISBN 13 : 9780199257300
Total Pages : 396 pages
Book Rating : 4.2/5 (573 download)
Download or read book Time Series with Long Memory written by Peter M. Robinson and published by Advanced Texts in Econometrics. This book was released on 2003 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long memory time series are characterized by a strong dependence between distant events.
Author : Antoine Petrus Cornelius van der Ploeg
Publisher : Rozenberg Publishers
ISBN 13 : 9051705778
Total Pages : 358 pages
Book Rating : 4.0/5 (517 download)
Download or read book Stochastic volatility and the pricing of financial derivatives written by Antoine Petrus Cornelius van der Ploeg and published by Rozenberg Publishers. This book was released on 2006 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
