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Duration-Based Stock Valuation : Reassessing Stock Market Performance and Volatility
van Binsbergen, Jules H. - 2022
) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …
Persistent link: https://www.econbiz.de/10013293433
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Duration-Based Stock Valuation : Reassessing Stock Market Performance and Volatility
van Binsbergen, Jules H. - 2020
) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …
Persistent link: https://www.econbiz.de/10012481562
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Do excessively volatile forecasts impact investors?
Lundholm, Russell J.; Rogo, Rafael - In: Review of accounting studies 25 (2020) 2, pp. 636-671
Persistent link: https://www.econbiz.de/10012231044
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Explaining the Variance of Price Dividend Ratios
Cochrane, John H. - 1989
This paper presents a bound on the variance of the price-dividend ratio and a decomposition of the variance of the price-dividend ratio into components that reflect variation in expected future discount rates and variation in expected future dividend growth. Unobserved discount rates needed to...
Persistent link: https://www.econbiz.de/10012475884
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Dynamic Analysis between Sin Stocks and Investor Sentiment
Perez-Liston, Daniel - 2017
This paper examines the temporal relationship between sin stocks and investor sentiment using vector autoregressive models. It decomposes sin returns into a market-based and pure sin component and then performs dynamic statistical modeling on the pure sin portfolio. Next, it attempts to...
Persistent link: https://www.econbiz.de/10012948710
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Forecasting stock volatility using pseudo-out-of-sample information
Li, Xiaodan; Gong, Xue; Ge, Futing; Huang, Jingjing - In: International review of economics & finance : IREF 90 (2024), pp. 123-135
Persistent link: https://www.econbiz.de/10014446892
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Information and opinions in financial markets
Banerjee, Snehal - 2007
Persistent link: https://www.econbiz.de/10009691380
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Earnings Volatility, Ambiguity, and Crisis-Period Stock Returns
Ahmed, Anwer S. - 2019
with higher pre-crisis earnings volatility, causing investors to demand a higher ambiguity premium for such firms. While … there is no relation between earnings volatility and stock returns under normal conditions, there is a significant negative … relation between crisis-period stock returns and prior earnings volatility. In other words, during economic turmoil, investors …
Persistent link: https://www.econbiz.de/10012890190
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Volatility Spread and the Stock Market Response to Earnings Announcements
Lei, Qin - 2017
market reaction from earnings announcements with greater abnormal implied volatility spread immediately before the EAD. By …
Persistent link: https://www.econbiz.de/10012972259
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Economic policy uncertainty, investor attention and post-earnings announcement drift
Du, Xiuli; Ao, Zhu; Chai, Yiwei; Ge, Shilong - In: International review of financial analysis 87 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014460448