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that, after monetary policy announcements, the conditional volatility rises more for firms with stickier prices than for …
Persistent link: https://www.econbiz.de/10012459801
introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …
Persistent link: https://www.econbiz.de/10012462802
This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces … volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy … price volatility …
Persistent link: https://www.econbiz.de/10012465565
We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular …, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price …-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines …
Persistent link: https://www.econbiz.de/10012465813
We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex-post resolution of this uncertainty in financial markets. We measure macroeconomic uncertainty using prices of economic derivatives and relate this measure to changes in implied...
Persistent link: https://www.econbiz.de/10012466398
We present a theory of excess stock market volatility, in which market movements are due to trades by very large …
Persistent link: https://www.econbiz.de/10012466944
A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded securities. We distinguish three views of such comovement. The traditional 'fundamentals' view explains the comovement of securities through positive correlations in the rational...
Persistent link: https://www.econbiz.de/10012469819
This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using … for stocks under stochastic volatility varies strongly with the investor's coefficient of relative risk aversion, but only … preference parameters. This paper also shows that stochastic variation in volatility produces an optimal intertemporal hedging …
Persistent link: https://www.econbiz.de/10012471407
reservations about the impact of foreign speculators on both expected" returns and market volatility. We propose a cross … receipts country funds and other financial instruments, in an extranational market and market volatility in emerging equity … always decreases after a capital market liberalization but the effect is" economically and statistically weak. The effects on …
Persistent link: https://www.econbiz.de/10012472501
It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …
Persistent link: https://www.econbiz.de/10012472796