An Analysis Of Changes In Aggregate Stock Market Volatility PDF Download
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Author | : Frank K. Reilly |
Publisher | : |
Total Pages | : 92 |
Release | : 1979 |
Genre | : Stocks |
ISBN | : |
Download An Analysis of Changes in Aggregate Stock Market Volatility Book in PDF, ePub and Kindle
General price studies on the level of volatility for aggregate stock market have derived conflicting results. Using daily stock price changes for the period 1926-1975, the paper examines the characteristics of the distribution of daily stock price changes. Subsequently we examined changes in several measures of stock price volatility. The results indicated significant changes over time and especially in 1973-1975.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 1978 |
Genre | : |
ISBN | : |
Download An Analysis of Changes in Aggregate Market Volatility Book in PDF, ePub and Kindle
Author | : John Martin Wachowicz |
Publisher | : |
Total Pages | : 388 |
Release | : 1978 |
Genre | : Capital assets pricing model |
ISBN | : |
Download An Analysis of Changes in Aggregate Market Volatility Book in PDF, ePub and Kindle
Author | : Frank K. Reilly |
Publisher | : |
Total Pages | : 62 |
Release | : 1979 |
Genre | : Institutional investments |
ISBN | : |
Download An Analysis of Factors that Influence Aggregate Stock Market Volatility Book in PDF, ePub and Kindle
Author | : Zuliu Hu |
Publisher | : International Monetary Fund |
Total Pages | : 26 |
Release | : 1995-10-01 |
Genre | : Business & Economics |
ISBN | : 1451852584 |
Download Stock Market Volatility and Corporate Investment Book in PDF, ePub and Kindle
Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment over and above that of stock returns. Volatility and its changes are negatively related to investment growth. To the extent volatility depresses fixed capital formation and hence future income growth, the results suggest the desirability of reducing stock market volatility.
Author | : Tanguy de Launois |
Publisher | : Presses univ. de Louvain |
Total Pages | : 275 |
Release | : 2009 |
Genre | : Business & Economics |
ISBN | : 2874631744 |
Download Information, Volatility and the Cost of Capital Book in PDF, ePub and Kindle
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.
Author | : Robert A. Haugen |
Publisher | : Pearson |
Total Pages | : 166 |
Release | : 1999 |
Genre | : Actions (Titres de société) |
ISBN | : |
Download Beast on Wall Street Book in PDF, ePub and Kindle
It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.
Author | : Greg N. Gregoriou |
Publisher | : CRC Press |
Total Pages | : 654 |
Release | : 2009-04-08 |
Genre | : Business & Economics |
ISBN | : 1420099558 |
Download Stock Market Volatility Book in PDF, ePub and Kindle
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author | : Carolyn D. Davis |
Publisher | : |
Total Pages | : 18 |
Release | : 1987 |
Genre | : Program trading (Securities) |
ISBN | : |
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Author | : A. R. Pagan |
Publisher | : London : Centre for Decision Sciences and Econometrics, University of Western Ontario |
Total Pages | : 52 |
Release | : 1986 |
Genre | : Econometric models |
ISBN | : |
Download The Econometric Analysis of Models with Risk Terms Book in PDF, ePub and Kindle