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Alternative Models For Conditional Stock Volatility
Pagan, Adrian R. - 1989
This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834 … volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of … of stock volatility, even over the 1834-1925 period …
Persistent link: https://www.econbiz.de/10012476093
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Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth A. - 1987
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012476706
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Transmission of Volatility Between Stock Markets
King, Mervyn A. - 1989
volatility …
Persistent link: https://www.econbiz.de/10012476144
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2000
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074
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Expected Returns and Expected Dividend Growth
Lettau, Martin - 2003
We investigate a consumption-based present value relation that is a function of future dividend growth. Using data on aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend growth make an important contribution to...
Persistent link: https://www.econbiz.de/10012469093
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"Excess Volatility" and the German Stock Market, 1876-1990
De Long, J. Bradford - 1992
has also possessed excess volatility' in the past century. It finds no evidence of excess volatility in the pre-World War … I German stock market. By contrast, there is some evidence of excess volatility in the post-World War II German stock … volatility of German stock indices before 1914 …
Persistent link: https://www.econbiz.de/10012474925
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Why Does the Stock Market Fluctuate?
Barsky, Robert B. - 1992
Large long-run swings in the United States stock market over the past century correspond to swings in estimates of fundamental values calculated by using a long moving average of past dividend growth to forecast future growth rates. Such a procedure would have been reasonable if investors were...
Persistent link: https://www.econbiz.de/10012474985
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The Granular Nature of Large Institutional Investors
Ben-David, Itzhak - 2016
ownership and trades by large institutions lead to higher volatility and to increased return and liquidity comovement. Moreover …
Persistent link: https://www.econbiz.de/10012456429
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Do ETFs Increase Volatility?
Ben-David, Itzhak - 2014
We study whether exchange traded funds (ETFs)--an asset of increasing importance--impact the volatility of their … stocks owned by ETFs exhibit significantly higher intraday and daily volatility. We estimate that an increase of one standard … deviation in ETF ownership is associated with an increase of 16% in daily stock volatility. The driving channel appears to be …
Persistent link: https://www.econbiz.de/10012458593
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Origins of Stock Market Fluctuations
Greenwald, Daniel L. - 2014
Three mutually uncorrelated economic disturbances that we measure empirically explain 85% of the quarterly variation in real stock market wealth since 1952. A model is employed to interpret these disturbances in terms of three latent primitive shocks. In the short run, shocks that affect the...
Persistent link: https://www.econbiz.de/10012458846