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Speculative dynamics
Cutler, David M.; Poterba, James M.; Summers, Lawrence Henry - 1990
Persistent link: https://www.econbiz.de/10000784202
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Speculative Dynamics
Cutler, David M. - 1990
This paper presents evidence on the characteristic speculative dynamics of a wide range of asset returns. It highlights three stylized facts. First, returns tend to be positively serially correlated at high frequency. Second, returns tend to be negatively serially correlated over long horizons....
Persistent link: https://www.econbiz.de/10012475795
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Speculative Dynamics
Cutler, David M.; Poterba, James M.; Summers, Lawrence H. - 2021
This paper presents evidence on the characteristic speculative dynamics of a wide range of asset returns. It highlights three stylized facts. First, returns tend to be positively serially correlated at high frequency. Second, returns tend to be negatively serially correlated over long horizons....
Persistent link: https://www.econbiz.de/10013228632
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The persistence of volatility and stock market fluctuations
Poterba, James M.; Summers, Lawrence Henry - 1984
Persistent link: https://www.econbiz.de/10000688412
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The persistence of volatility and stock fluctuations
Poterba, James M.; Summers, Lawrence Henry - 1984
Persistent link: https://www.econbiz.de/10002675142
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The Persistence of Volatility and Stock Market Fluctuations
Poterba, James M. - 1984
This paper examines the potential influence of changing volatility in stock market prices on the level of stock market … prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist …. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected …
Persistent link: https://www.econbiz.de/10012477626
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The Persistence of Volatility and Stock Market Fluctuations
Poterba, James M. - 2010
This paper examines the potential influence of changing volatility in stock market prices on the level of stock market … prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist …. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected …
Persistent link: https://www.econbiz.de/10012762976
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Copycat funds : information disclosure regulation and the returns to active management in the mutual fund industry
Frank, Mary Margaret; Poterba, James M.; Shackelford, … - In: The journal of law & economics 47 (2004) 2, pp. 515-541
Persistent link: https://www.econbiz.de/10002436628
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Copycat Funds : Information Disclosure Regulation and the Returns to Active Management in the Mutual Fund Industry
Myers, Mary Margaret - 2012
Mutual funds must disclose their portfolio holdings to investors semiannually. The costs and benefits of such disclosures are a long-standing subject of debate. For actively managed funds, one cost of disclosure is a potential reduction in the private benefits from research on asset values....
Persistent link: https://www.econbiz.de/10012755953
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Copycat Funds : Information Disclosure Regulation and the Returns to Active Management in the Mutual Fund Industry
Myers, Mary Margaret - 2001
Mutual funds must disclose their portfolio holdings to investors semiannually. The costs and benefits of such disclosures are a long-standing subject of debate. For actively managed funds, one cost of disclosure is a potential reduction in the private benefits from research on asset values....
Persistent link: https://www.econbiz.de/10012470062