Similar Search Results

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

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

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

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

Credit Constraints and Stock Price Volatility

Hale, Galina - 2007

This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces the probability of oscillations between binding and non-binding states of the credit constraint; thereby lowering the rate of return variance. We test this prediction of a...

Persistent link: https://www.econbiz.de/10012776957

Conditional Asset Allocation in Emerging Markets

Harvey, Campbell R. - 2010

Within the context of conditional asset allocation strategies, this paper explores the implications of the low correlations of the emerging market returns with developed market returns and the relatively high degree predictability of emerging countries' returns. It is well known that low...

Persistent link: https://www.econbiz.de/10012763465

Sources of Risk and Expected Returns in Global Equity Markets

Ferson, Wayne E. - 2010

unconditional mean- variance efficiency of a world market portfolio, our evidence indicates that the tests are low in power, and the … world market betas do not provide a good explanation of cross-sectional differences in average returns. Multiple beta models …

Persistent link: https://www.econbiz.de/10012763466