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Volatility in equilibrium : asymmetries and dynamic dependencies

Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009

Persistent link: https://www.econbiz.de/10003849492

Realized volatility and multipower variation

Andersen, Torben; Todorov, Viktor - 2009

Persistent link: https://www.econbiz.de/10003892558

Realized GARCH : a complete model of returns and realized measures of volatility

Hansen, Peter Reinhard; Huang, Zhuowei; Shek, Howard Howan - 2010

Persistent link: https://www.econbiz.de/10003941851

Evaluating the Specification Errors of Asset Pricing Models

Hodrick, Robert J. - 2000

This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996) conditional CAPM, the Campbell (1996) dynamic asset pricing...

Persistent link: https://www.econbiz.de/10012471106

Estimating Exchange Rate Exposures : Some "Weighty" Issues

Bodnar, Gordon M. - 2000

From a sample of 910 U.S. firms over the period 1977 1996, we find that structure of the empirical model has significant impacts on resulting estimates of exchange rate exposures from equity returns. While lengthening the return horizon has minimal impact on exposure estimates, the inclusion of...

Persistent link: https://www.econbiz.de/10012471279

A Model of Momentum

Liu, Laura Xiaolei - 2011

Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...

Persistent link: https://www.econbiz.de/10012461911

Market Reactions to Tangible and Intangible Information

Daniel, Kent - 2003

We decompose stock returns into components attributable to tangible and intangible information. A firm's tangible … return is the component of its return attributable to fundamental accounting-performance information, and its intangible … return is the component which is orthogonal to this information. Our evidence indicates that intangible information reliably …

Persistent link: https://www.econbiz.de/10012468955

Learning about CEO Ability and Stock Return Volatility

Pan, Yihui - 2013

When there is uncertainty about a CEO's quality, news about the firm causes rational investors to update their expectation of the firm's profitability for two reasons: Updates occur because of the direct effect of the news, and also because the news can cause an updated assessment of the CEO's...

Persistent link: https://www.econbiz.de/10012459779