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Chen, Honghui - 2015

Recent evidence of excessive comovement among stocks following index additions (Barberis, Shleifer, and Wurgler, 2005) and stock splits (Green and Hwang, 2009) challenges traditional finance theory. Based on a simple model, we show that the bivariate regressions relied upon in the literature...

Persistent link: https://www.econbiz.de/10013020678

Comovement Revisited

Chen, Honghui - 2015

Persistent link: https://www.econbiz.de/10013020905

Forecasting Stock Returns : Does Switching Between Models Help?

McMillan, David G. - 2009

Research examining the usefulness of non-linear models for stock market returns has almost reached an impasse. While there is general recognition of the superior ability of non-linear models to describe the data, there is less certainty about their ability to forecast the data. As such simple...

Persistent link: https://www.econbiz.de/10013158958

Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data

Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Shittu, … - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 276-290

Persistent link: https://www.econbiz.de/10011348408

Asymmetric effects and long memory in the volatility of Dow Jones stocks

Scharth, Marcel; Medeiros, Marcelo C. - In: International journal of forecasting 25 (2009) 2, pp. 304-327

Persistent link: https://www.econbiz.de/10003870060

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Campbell, John Y. - 2000

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm … levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility …, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures …

Persistent link: https://www.econbiz.de/10012471179