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We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the … specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use … data, we find that daily realized power (involving 5-minute absolute returns) is the best predictor of future volatility …
Persistent link: https://www.econbiz.de/10012467773
This paper examines the economic environments in which past U.S. stock market booms occurred as a first step toward understanding how asset price booms come about and whether monetary policy should be used to defuse booms. We identify several episodes of sustained rapid rise in equity prices in...
Persistent link: https://www.econbiz.de/10012467986
induced by the financial liberalization processes that these countries went through in the early 1990's. We find that cycles … in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries …. However, after financial liberalization Latin American stock markets have behaved more similarly to stock markets in developed …
Persistent link: https://www.econbiz.de/10012468881
.S. equities during the Great Depression. Both show increasing market volatility and a prolonged large co-movement in equity prices …. What is unique about the Japanese case is the surprising fall in firm-level volatility and turnover in Japanese stocks … after its market crash in 1990. This large decrease in firm-level volatility may have impeded Japan's capital formation …
Persistent link: https://www.econbiz.de/10012469056
We investigate a consumption-based present value relation that is a function of future dividend growth. Using data on aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend growth make an important contribution to...
Persistent link: https://www.econbiz.de/10012469093
This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. It … volatile stock markets, even after one controls for liquidity/maturity of the market, and the volatility of the underlying … fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is …
Persistent link: https://www.econbiz.de/10012469159
ownership and trades by large institutions lead to higher volatility and to increased return and liquidity comovement. Moreover …
Persistent link: https://www.econbiz.de/10012456429
findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …
Persistent link: https://www.econbiz.de/10012457188
" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …
Persistent link: https://www.econbiz.de/10012458228
Three mutually uncorrelated economic disturbances that we measure empirically explain 85% of the quarterly variation in real stock market wealth since 1952. A model is employed to interpret these disturbances in terms of three latent primitive shocks. In the short run, shocks that affect the...
Persistent link: https://www.econbiz.de/10012458846