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How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments
Driessen, Joost - 2011
effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease …
Persistent link: https://www.econbiz.de/10013133792
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Intraday Momentum : The First Half-Hour Return Predicts the Last Half-Hour Return
Gao, Lei - 2017
Our research on data for the S&P 500 ETF from 1993-2013 documents an intraday momentum pattern: the first half-hour return on the market (from the previous day's close) predicts the last half-hour return. The predictability, both statistically and economically significant, is stronger on more...
Persistent link: https://www.econbiz.de/10012972249
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Bayesian analysis of time-varying interactions between stock returns and foreign equity flows
Baba, Boubekeur; Sevil, Güven - In: Financial innovation : FIN 7 (2021), pp. 1-25
time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new …
Persistent link: https://www.econbiz.de/10012594935
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Aggregate implied volatility spread and stock market returns
Han, Bing; Li, Gang - 2017 - Current Version: September 2017
Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …
Persistent link: https://www.econbiz.de/10011897782
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Predicting Stock Volatility Using After-Hours Information
Chen, Chun-hung; Yu, William; Zivot, Eric - 2009
We use realized volatilities based on after hours high frequency returns to predict next day volatility. We extend … inclusion of the preopen variance can improve the out-of-sample forecastability of the next day conditional day volatility … day conditional volatility. Our findings support the results of prior studies that traders trade for non …
Persistent link: https://www.econbiz.de/10014211521
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Modeling Intraday Momentum and Reversal by a Parsimonious Diffusion Process
Ling, Shiqing - 2019
controlling momentum, reversal, and volatility respectively. By using different combinations of parameter values, the process can …
Persistent link: https://www.econbiz.de/10012868934
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Does Perception Matter in Asset Pricing? Modeling Volatility Jumps and Returns Using Twitter-Based Sentiment Indices
Sanford, Anthony - 2019
volatility jumps …
Persistent link: https://www.econbiz.de/10012899271
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Salient or Safe : Why Do Predicted Stock Issuers Earn Low Returns?
Lee, Charles M.C. - 2019
behind the HILP phenomenon. Top-PSI firms are cash-strapped, have lottery-like payoffs, high volatility, high Beta, and high …
Persistent link: https://www.econbiz.de/10012902654
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Oil Price Exposure, Earnings Announcements, and Stock Return Predictability
Moore, Jordan - 2020
We provide evidence that equity investors with limited attention are slow to incorporate how current oil price changes affect future earnings announcements. A cross-sectional equity trading strategy that exploits this inefficiency yields an annualized Sharpe Ratio of 0.57. Stock prices respond...
Persistent link: https://www.econbiz.de/10012852476
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Forecasting returns with fundamentals-removed investor sentiment
Stivers, Adam - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 319-341
The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...
Persistent link: https://www.econbiz.de/10011312208