The major purpose of this research exercise is to assess the volatility dynamics of the stock returns of the banks of India and to determine the factor which influence and explains the stock returns. For this the two important methodologies are applied, for understanding the sensitivity of stock...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Empirical research on the benefits of investing in inflation-linked bonds usually relies on a limited number of observations due to the relatively recent introduction of these assets. We estimate models for the break-even inflation rate and use these to create hypothetical inflation-linked bond...

This paper empirically investigates the volatility pattern of Indian stock market based on time series data which comprises of daily closing prices of the S&P CNX Nifty Index for a fifteen year period from 1st April 2001 to 31st March 2016. For this study the analysis has been done using both...

This article provides an overview of existing community-contributed commands for executing event studies. I assess which command(s) could have been used to conduct event studies that have appeared in the past ten years in three leading accounting, finance and management journals. The older...

This paper examines an interdependence of returns and volatilities among equity markets using spillover index methodology developed by Diebold and Yilmaz (2009). This paper is an extension of the work done by Diebold and Yilmaz to examine whether the inclusion of both risk and return in VAR...

This paper extends the output growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 62 countries, this study finds that stock price informativeness as measured by firm-specific return...

This paper extends the output growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 62 countries, this study finds that stock price informativeness as measured by firm-specific return...

This paper extends the output growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 62 countries, this study finds that stock price informativeness as measured by firm-specific return...

The purpose of this paper is to serve as a guide for students' use of actual data for risk and return calculations. The study of stock return risk has been of interest to investors and academics for several decades. Early discussion of the “mean-variance framework” described the rationale...