Narrow search
Showing 1 - 10 of 7,150
Cover Image
Stock Market Volatility Analysis using GARCH Family Models : Evidence from Zimbabwe Stock Exchange
Bonga, Wellington Garikai - 2019
different magnitude. This simply imply that investors on the Zimbabwean stock exchange react differently to information …
Persistent link: https://www.econbiz.de/10012868676
Cover Image
Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities
Ledenyov, Dimitri - 2015
the information absorption by the investors occurs in the evolving learning process about the company's value, taking to … information absorption capacity by the investors on the IPOs impacts the investor's investment decisions and serves as a pre … the changing information absorption capacity by the investors on the IPO value. 3. We think that the IPO winning virtuous …
Persistent link: https://www.econbiz.de/10013026463
Cover Image
Volatility and Growth : Credit Constraints and Productivity-Enhancing Investment
Aghion, Philippe; Banerjee, Abhijit V.; Angeletos, … - 2015
We examine how credit constraints affect the cyclical behavior of productivity-enhancing investment and thereby volatility and growth. We first develop a simple growth model where firms engage in two types of investment: a short-term one and a long-term productivity-enhancing one. Because it...
Persistent link: https://www.econbiz.de/10014028049
Cover Image
Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model …
Persistent link: https://www.econbiz.de/10012404647
Cover Image
Systematic mispricing in European equity prices?
Berneburg, Marian (contributor) - 2007
One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is that market prices seem too volatile to be optimal estimates of the present value of future discounted cash flows. Based on this, it is deduced that systematic pricing errors...
Persistent link: https://www.econbiz.de/10003482498
Cover Image
Heat Waves or Meteor Showers : Empirical Evidence from Indian Stock Market
Varadi, Vijay Kumar - 2011
In order to study the volatility spillovers / the transfer of volatilities from spot and futures markets for the period 1st January 2001 to 30th November 2005 with high frequency data i.e., one minute intervals, we have used GARCH models to compute volatilities and VAR models for the returns of...
Persistent link: https://www.econbiz.de/10013131718
Cover Image
R-Squared and the Economy
Morck, Randall - 2013
inconsistencies in the empirical literature are reconciled if information has high fixed costs, driving a wedge between functional … efficiency and traditional finance concepts of information efficiency. This wedge implies positive and negative feedback loops …
Persistent link: https://www.econbiz.de/10013082794
Cover Image
Volatility Spillovers Across NFTs News Attention and Financial Markets
Wang, Yizhi - 2022
information for both short and long-term volatility of NFT markets, separately. The new NFTsAI and the empirical findings contain …
Persistent link: https://www.econbiz.de/10013404368
Cover Image
Do Benchmark African Equity Indices Exhibit the Stylized Facts?
Li, Youwei - 2010
This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time-series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtotic, had fat-tails, over time experienced...
Persistent link: https://www.econbiz.de/10013142997
Cover Image
Information, Trading, and Volatility : Evidence from Firm-Specific News
Boudoukh, Jacob - 2017
What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not … public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in … news. This information accounts for 49.6% of overnight idiosyncratic volatility (compared to 12.4% during trading hours …
Persistent link: https://www.econbiz.de/10012974737