Download or read book On the Relationship Between the Conditional Mean and Volatility of Stock Returns written by Michael W. Brandt and published by . This book was released on 2002 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a strong and robust negative correlation between the innovations to the conditional moments that leads to pronounced counter-cyclical variation in the Sharpe ratio. We document significant lead-lag correlations between the conditional moments that also appear related to business cycles. Finally, we show that although the conditional correlation between the mean and volatility is negative, the unconditional correlation is positive due to the lead-lag correlations
Download or read book On the Relationship Between the Conditional Mean and Volatility of Stock Return written by Michael W. Brandt and published by . This book was released on 2002 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On the Relationship Between the Conditional and Volatility of Stock Returns written by Michael W. Brandt (Ph.D.) and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Causal Relationship Between Stock Returns and Volume written by Rochelle L. Antoniewicz and published by . This book was released on 1992 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Persistence and Implied Persistence of Volatility of Stock Returns written by Chowdhury B. A. Mustafa and published by . This book was released on 1988 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Information Volatility and the Cost of Capital written by Tanguy de Launois and published by Presses univ. de Louvain. This book was released on 2009 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: We all have in mind a couple of dramatic examples of how information released by some economical or political entity resulted in tremendous consequences for a private company or, worst, for the whole financial market. This is the purpose of this dissertation to investigate the relations between information,stock volatility and the cost of capital. After the extension of the standard CAPM model to a more realistic world where some investors are “constrained” and deviate from their optimal CAPM quantities, we confront our theoretical model to the empirical reality by investigating the so-called “index effect”. Thanks to econometric specifications robust to endogeneity, we test different hypotheses proposed by the literature to explain this well known value premium of firms belonging to large indices. In a next step, we investigate how the quality and quantity of micro and macro public signals impact the main determinants of our pricing equation initially developed. We show that in a world of constrained investors, firms benefiting from a high deviation have less incentive to communicate than others. Finally, we study the link between public information and conditional volatility thanks to an original sample of several tens of thousands of Reuters and Dow Jones news releases on both the French and US markets. Thanks to various econometric specifications like GARCH models and Markov Switching Regressions, we conclude that a larger daily number of news releases increases the probability to be in the high probability regime and that the impact ofinformation is strongly dependent on the topic and the timing of the release of this information.
Download or read book The Relationship between Stock Returns and Volatility in International Stock Markets written by Qi Li and published by . This book was released on 2005 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the relationship between expected stock returns and volatility in the twelve largest international stock markets during January 1980 - December 2001. Consistent with most previous studies, we find a positive but insignificant relationship during the sample period for the majority of the markets based on parametric EGARCH-M models. However, using a flexible semiparametric specification of conditional variance, we find evidence of a significant negative relationship between expected returns and volatility in six out of the twelve markets under study. The results lend support to the recent claim (Bekaert and Wu, 2000; Whitelaw, 2000) that stock market returns are negatively correlated with stock market volatility.
Download or read book On the Predictability of Stock Returns written by Shmuel Kandel and published by . This book was released on 1995 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the current value of a predictive variable, such as dividend yield, even though a null hypothesis of no predictability might not be rejected at conventional significance levels. When viewed in this economic context, the empirical evidence indicates a strong degree of predictability in monthly stock returns.
Download or read book On Business Cycle Variation in the Mean Volatility and Conditional Distribution of Stock Returns written by Gabriel Perez-Quiros and published by . This book was released on 1996 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Returns and the Term Structure written by John Y. Campbell and published by . This book was released on 1985 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well known that in the postwar period stockreturns have tended to be low when the short term nominal interest rate is high. In this paper I show that more generally the state of the term structure of interest rates predicts stock returns. Risk premia on stocks appear to move closely together with those on 20-year Treasury bonds, while risk premia on Treasury bills move somewhat independently. Average returns on 20-year bonds have been very low relative to average returns on stocks. I use these observations to test some simple asset pricing models. First I consider latent variable models in which betas are constant and risk premia vary with expected returns on a small number of unobservable hedge portfolios. The data strongly reject a single-latent-variable model. The last part of the paper examines the relationship between conditional means and variances of returns on bills, bonds and stocks. Bill returns tend to be high when their conditional variance is high, but there is a perverse negative relationship between stock returns and their conditional variance. A model is estimated which assumes that asset returns are determined by their time-varying betas with a fixed-weight "benchmark" portfolio of bills, bonds and stocks, whose return is proportional to its conditional variance. This portfolio is estimated to place almost all its weight on bills, indicating that uncertainty about nominal interest rates is important in pricing both short- and long-term assets
Download or read book Stock Return Dynamics Over Intra day Trading and Nontrading Periods in the London Stock Market written by Ronald W. Masulis and published by . This book was released on 1992 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Initial Margin Requirements and Stock Returns Volatility written by Paul H. Kupiec and published by . This book was released on 1989 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Asymmetry of Market Returns and Its Impact on the Mean Variance Frontier written by Jatikumar Sengupta and published by . This book was released on 1990 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting conditional volatility of returns by using the relationship among returns trading volume and open interest in commodity futures markets written by Sang-Hak Lee and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Volatility in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2002-08-22 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Forecasting Volatility in the Financial Markets' assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modelling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and research and an insight into the cutting edge techniques applied in this field of the financial markets.This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets.* Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility.* Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns.* Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls.* Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models.* Students and academics will find the collection of papers an invaluable overview of this field. This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure Current research on the key forecasting methods to use in risk management, including two new chapters
Download or read book Alternative Models for the Conditional Heteroscedasticity of Stock Returns written by Dongcheol Kim and published by . This book was released on 1992 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
