Hendricks, Torben W.; Kempa, Bernd; Pierdzioch, Christian - In: The European Journal of Finance 18 (2012) 1, pp. 29-39
We investigate the impact of good and bad news on stock market volatility. To this end, we utilize a novel data set of banks’ buy and sell recommendations for the German DAX30 stock market index and estimate an EGARCH(1,1) model which features these recommendations as well as several other...