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Learning about CEO Ability and Stock Return Volatility
Pan, Yihui - 2013
When there is uncertainty about a CEO's quality, news about the firm causes rational investors to update their expectation of the firm's profitability for two reasons: Updates occur because of the direct effect of the news, and also because the news can cause an updated assessment of the CEO's...
Persistent link: https://www.econbiz.de/10012459779
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Business Cycle Fluctuations and the Life Cycle : How Important is On-The-Job Skill Accumulation?
Hansen, Gary D. - 2007
We study the effects of on-the-job skill accumulation on average hours worked by age and the volatility of hours over the life cycle in a calibrated general equilibrium model. Two forms of skill accumulation are considered: learning by doing and on-the-job training. In our economy with learning...
Persistent link: https://www.econbiz.de/10012465043
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Fund Managers, Career Concerns, and Asset Price Volatility
Guerrieri, Veronica - 2009
We propose a model where investors hire fund managers to invest either in risky bonds or in riskless assets. Some … managers have superior information on the default probability. Looking at the past performance, investors update beliefs on … their managers and make firing decisions. This leads to career concerns which affect investment decisions, generating a …
Persistent link: https://www.econbiz.de/10012463750
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An Empirical Investigation of Continuous-Time Equity Return Models
Andersen, Torben G. - 2001
This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying intensity. We find that any reasonably descriptive continuous-time model for equity-index returns must allow for discrete jumps as well as stochastic volatility with a...
Persistent link: https://www.econbiz.de/10012470208
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Stock Volatility in the New Millennium : How Wacky Is Nasdaq?
Schwert, G. William - 2001
The recent volatility of stock prices has caused many people to conclude that investors have become irrational in valuing at least some stocks. This paper investigates the behavior of the volatility of stocks on the Nasdaq, which tend to be smaller companies with more growth options, in relation...
Persistent link: https://www.econbiz.de/10012470283
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Modeling and Forecasting Realized Volatility
Andersen, Torben G. - 2001
This paper provides a general framework for integration of high-frequency intraday data into the measurement forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations, and...
Persistent link: https://www.econbiz.de/10012470566
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The Distribution of Stock Return Volatility
Andersen, Torben G. - 2000
We exploit direct model-free measures of daily equity return volatility and correlation obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average over a five-year period to confirm, solidify and extend existing characterizations of stock...
Persistent link: https://www.econbiz.de/10012470803
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2000
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074
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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. Accordingly correlations among individual stocks and...
Persistent link: https://www.econbiz.de/10012471179
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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Andersen, Torben G. - 2000
It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we...
Persistent link: https://www.econbiz.de/10012471288