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Persistent link: https://www.econbiz.de/10011333120
This article presents a comprehensive analysis of the relative ability of three information sets --- daily trading volume, intraday returns and overnight returns --- to predict equity volatility. We investigate the extent to which statistical accuracy of one-day-ahead forecasts translates into...
Persistent link: https://www.econbiz.de/10013095770
Persistent link: https://www.econbiz.de/10011312407
This paper aims to test the accuracy of three well-known equity valuation models for the period 1990 to 2006. This was done to a sample of German listed firms which diverge from the US market in accounting standards, market maturity and corporate governance culture (bank-based in contrast to the...
Persistent link: https://www.econbiz.de/10013073371
This paper investigates the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE)...
Persistent link: https://www.econbiz.de/10012999962
This paper investigates the role of volatility risk on stock return predictability. Using 596 stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE) for the period from January 2001 to December 2010 we examine the relation between different...
Persistent link: https://www.econbiz.de/10013046782
Persistent link: https://www.econbiz.de/10011797740
This paper investigates the role of volatility risk on stock return predictability. Using 596 stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE) for the period from January 2001 to December 2010, it examines the relation between different...
Persistent link: https://www.econbiz.de/10014123879