Essays On Stock Market Volatility
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Three Essays On Stock Market Volatility And Stock Return Predictability
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Author : Shu Yan
language : en
Publisher:
Release Date : 2000
Three Essays On Stock Market Volatility And Stock Return Predictability written by Shu Yan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Stock exchanges categories.
Three Essays On Information Volatility And Crises In Equity Markets
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Author : Shane K. Clark
language : en
Publisher:
Release Date : 2015
Three Essays On Information Volatility And Crises In Equity Markets written by Shane K. Clark and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Essay 3 investigates the relation between proxies for investor sentiment and stock market crises and recoveries on international indices. Using an Early-Warning-System (EWS) model, the essay examines whether investor sentiment is a useful predictor for the occurrence of stock market crises and early signs of recovery. Three alternative proxies are used to measure investor sentiment, including previously cited measures of stock market riskiness, investors' risk aversion and investors' optimism about stock markets. The results show that investor sentiment is overall a significant predictor of the occurrence of crises within a one year period, and that the addition of sentiment into early warning signal models of stock market crises can improve the predictive performance of the model (increases in investor sentiment increase the probability of occurrence of a crisis, which is in line with previous contributions finding a negative lead-lag relation between sentiment and stock returns). The extension of the model to early signs of recoveries also shows that sentiment is a reliable predictor. The measure of stock market riskiness (Baker and Wurgler, 2006) is found to be a better predictor than the Volatility Index (VIX) and the Put-to-Call Ratio (PCR). The cross-country comparison results confirms the literature findings that the link between sentiment and stock market returns varies across indices and cultures, as the predictive power of the variable appears strongest in the French and U.S. indices.
Stock Market Volatility And Price Discovery
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Author : Jose Gonzalo Rangel
language : en
Publisher:
Release Date : 2006
Stock Market Volatility And Price Discovery written by Jose Gonzalo Rangel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Information Asset Pricing And Market Volatility
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Author : Yexiao Xu
language : en
Publisher:
Release Date : 1996
Information Asset Pricing And Market Volatility written by Yexiao Xu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Essays In Empirical Finance
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Author : Anders C. Johansson
language : en
Publisher: Goteborg University
Release Date : 2007
Essays In Empirical Finance written by Anders C. Johansson and has been published by Goteborg University this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Capital market categories.
The Equity Risk Premium
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Author : William N. Goetzmann
language : en
Publisher: Oxford University Press
Release Date : 2006-11-16
The Equity Risk Premium written by William N. Goetzmann and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-11-16 with Business & Economics categories.
What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
Essays On Return Predictability And Volatility Estimation
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Author : Yuzhao Zhang
language : en
Publisher:
Release Date : 2008
Essays On Return Predictability And Volatility Estimation written by Yuzhao Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Investments categories.
Essays On Information And Linkages In Financial Markets
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Author : Rajesh Chakrabarti
language : en
Publisher:
Release Date : 1999
Essays On Information And Linkages In Financial Markets written by Rajesh Chakrabarti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Stock exchanges categories.
Essays On Financial Market Interdependence
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Author : Lu Liu
language : en
Publisher:
Release Date : 2012
Essays On Financial Market Interdependence written by Lu Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Stock exchanges categories.
Volatility And Time Series Econometrics
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Author : Tim Bollerslev
language : en
Publisher: OUP Oxford
Release Date : 2010-02-11
Volatility And Time Series Econometrics written by Tim Bollerslev and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-11 with Business & Economics categories.
Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.