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A Specification Test for Speculative Bubbles

West, Kenneth D. - 2010

The set of parameters needed to calculate the expected present discounted value of a stream of dividends can be estimated in two ways. One may test for speculative bubbles, or fads, by testing whether the two estimates are the same. When the test is applied to some annual U.S. stock market data,...

Persistent link: https://www.econbiz.de/10012763029

No News is Good News : An Asymmetric Model of Changing Volatility in Stock Returns

Campbell, John Y. - 2009

It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow for this volatility feedback effect. The resulting...

Persistent link: https://www.econbiz.de/10012767711

What Do We Really Know About the Cross-Sectional Relation between Past and Expected Returns?

Grinblatt, Mark - 2014

profits across stock characteristics, season, and tax environment appear inconsistent with existing theory, but may point to …

Persistent link: https://www.econbiz.de/10012752800

The Predictive Ability of Several Models of Exchange Rate Volatility

West, Kenneth D.; Cho, Dongchul - 2021

We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...

Persistent link: https://www.econbiz.de/10013225431

Measuring Uncertainty

Jurado, Kyle - 2013

This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our estimates display significant independent variations from...

Persistent link: https://www.econbiz.de/10013075857

Dating the Integration of World Equity Markets

Bekaert, Geert - 2008

Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which … equity market becomes financially integrated with world capital markets. We find endogenous break dates that are very … markets are on average larger and more liquid than before; returns are more volatile and more highly correlated with the world …

Persistent link: https://www.econbiz.de/10012774881

Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts

Andersen, Torben - 2008

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...

Persistent link: https://www.econbiz.de/10012774886

Asset Price Bubbles and Systemic Risk

Brunnermeier, Markus Konrad; Rother, Simon; Schnabel, Isabel - 2021

We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost thirty years. Systemic risk of banks rises already during a bubble’s build-up phase, and even more so during its bust. The increase differs strongly across banks and bubble...

Persistent link: https://www.econbiz.de/10013224874

Blockholders and Corporate Governance

Edmans, Alex - 2013

This paper reviews the theoretical and empirical literature on the different channels through which blockholders (large shareholders) engage in corporate governance. In classical models, blockholders exert governance through direct intervention in a firm's operations, otherwise known as "voice."...

Persistent link: https://www.econbiz.de/10013073951

Effects of Index-Fund Investing on Commodity Futures Prices

Hamilton, James D. - 2014

The last decade brought substantial increased participation in commodity markets by index funds that maintain long positions in the near futures contracts. Policy makers and academic studies have reached sharply different conclusions about the effects of these funds on commodity futures prices....

Persistent link: https://www.econbiz.de/10013059085