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Lo, Andrew W. - 1989

Mandelbrot's "range over standard deviation" or R/S statistic, for which the relevant asymptotic sampling theory is derived via … functional central limit theory. This test is applied to daily, weekly, monthly, and annual stock returns indexes over several …

Persistent link: https://www.econbiz.de/10012476064

Multifrequency News and Stock Returns

Calvet, Laurent E. - 2005

Recent research documents that aggregate stock prices are driven by shocks with persistence levels ranging from daily intervals to several decades. Building on these insights, we introduce a parsimonious equilibrium model in which regime-shifts of heterogeneous durations affect the volatility of...

Persistent link: https://www.econbiz.de/10012467238

The Time Series of the Cross Section of Asset Prices

Menzly, Lior - 2002

In this paper we propose a general equilibrium model that successfully reproduces the historical experience of the cross section of US stock prices as well as the realized history of the market portfolio. The model achieves this while addressing traditional concerns in the asset pricing...

Persistent link: https://www.econbiz.de/10012469492

Dating the Integration of World Equity Markets

Bekaert, Geert - 1998

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/10012472089

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

Andersen, Torben G. - 1997

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/10012472795

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/10012459206

Conditional Asset Allocation in Emerging Markets

Harvey, Campbell R. - 1994

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/10012474311

Sources of Risk and Expected Returns in Global Equity Markets

Ferson, Wayne E. - 1994

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/10012474312

Media Sentiment and International Asset Prices

Fraiberger, Samuel P. - 2018

world, which does not reverse in the short run. Media sentiment affects mainly foreign - rather than local - investors …

Persistent link: https://www.econbiz.de/10012481003

Long-Run Risks and Financial Markets

Bansal, Ravi - 2007

The recently developed long-run risks asset pricing model shows that concerns about long-run expected growth and time-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can account for the risk premia and asset price...

Persistent link: https://www.econbiz.de/10012465457

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