and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange ….28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …