Narrow search
Showing 1 - 10 of 1,929
Cover Image
Emerging Equity Market Volatility
Bekaert, Geert - 1995
has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the … time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of … particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital …
Persistent link: https://www.econbiz.de/10012473563
Cover Image
Correlated Beliefs, Returns, and Stock Market Volatility
David, Joel M. - 2015
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
Cover Image
How and When are High-Frequency Stock Returns Predictable?
Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022
This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...
Persistent link: https://www.econbiz.de/10013362020
Cover Image
The Disappearing Index Effect
Greenwood, Robin; Sammon, Marco C. - National Bureau of Economic Research - 2022
The abnormal return associated with a stock being added to the S&P 500 has fallen from an average of 3.4% in the 1980s and 7.6% in the 1990s to 0.8% over the past decade. This has occurred despite a significant increase in the percentage of stock market assets linked to the index. A similar...
Persistent link: https://www.econbiz.de/10013477240
Cover Image
Investor Sentiment and Corporate Finance : Micro and Macro
Lamont, Owen A. - 2005
We document that net equity issuance is considerably more sensitive to aggregate stock returns and Q's than to firm-level stock returns and Q's. Very similar patterns also emerge when we look at merger activity. In light of earlier work (Campbell 1991, Vuolteenaho 2002) which finds that...
Persistent link: https://www.econbiz.de/10012466789
Cover Image
Institutional Allocation In Initial Public Offerings : Empirical Evidence
Aggarwal, Reena - 2002
We analyze institutional allocation in initial public offerings (IPOs) using a new dataset of US offerings between 1997 and 1998. We document a positive relationship between institutional allocation and day one IPO returns. This is partly explained by the practice of giving institutions more...
Persistent link: https://www.econbiz.de/10012469643
Cover Image
The Really Long-Run Performance of Initial Public Offerings : The Pre-NASDAQ Evidence
Gompers, Paul A. - 2001
Financial economists in recent years have closely examined and intensely debated the performance of initial public offerings using data after the formation of NASDAQ. The paper seeks to shed light on this controversy by undertaking a large, out-of-sample study: we examine the performance for up...
Persistent link: https://www.econbiz.de/10012470213
Cover Image
The Variability of IPO Initial Returns
Lowry, Michelle - 2006
The monthly volatility of IPO initial returns is substantial, fluctuates dramatically over time, and is considerably … larger during "hot" IPO markets. Consistent with IPO theory, the volatility of initial returns is higher among firms whose …
Persistent link: https://www.econbiz.de/10012466373
Cover Image
Identifying Shocks to Systematic Risk in Times of Crisis
Boudoukh, Jacob; Liu, Yukun; Moskowitz, Tobias J.; … - National Bureau of Economic Research - 2024
different, the risk dynamics share remarkably common features: PC1 shocks come solely from asset volatility, while PC2 shocks …
Persistent link: https://www.econbiz.de/10014635656
Cover Image
Day Traders, Noise, and Cost of Immediacy
Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - National Bureau of Economic Research - 2023
show that IDT activity reduces bid ask spread and increases intra-day volatility and total volume traded. The volume traded …
Persistent link: https://www.econbiz.de/10014250145