Author: Kenneth R. FrenchPublisher:
ISBN:
Category : Investments
Languages : en
Pages : 35
Book Description
Expected Stock Returns and Volatility
Author: Kenneth R. FrenchPublisher:
ISBN:
Category : Investments
Languages : en
Pages : 35
Book Description
Expected Stock Returns and Volatility in a Production Economy
Author: Padamja KhandelwalPublisher:
ISBN:
Category :
Languages : en
Pages : 46
Book Description
The sign of the relationship between expected stock market returns and volatility appears to vary over time; a result that seems at odds with basic notions of risk and return. In this paper we construct an economy where production involves the use of both labor and capital as inputs. We show that when capital investment is quot;stickyquot;, the sign of the relation between stock market risk and return varies in accordance with the supply of labor but requires no time variation in preferences. In particular, we show that for asset market equilibria where firms face an elastic supply of labor, the traditional positive risk-return relation obtains. Conversely, a negative relation obtains for asset market equilibria where there is positive probability that labor supply will be highly inelastic. A nice feature of our model is that, unlike earlier work, the sign of the stock market risk-return relation can be associated with observable features of the business cycle. Post World War II macroeconomic and stock return data are used to test the predictions from the model. Using standard measures of stock market volatility, our results provide support for a stock market risk-return relation that is negative at the peaks of business cycles and positive at the troughs.
Expected Stock Returns and Volatility in a Production Economy
Author: Padamja SingalPublisher:
ISBN:
Category : Stocks
Languages : en
Pages : 44
Book Description
The volatility of liquidity and expected stock returns
Author: Ferhat AkbasThe Econometric Analysis of Models with Risk Terms
Author: A. R. PaganPublisher: London : Centre for Decision Sciences and Econometrics, University of Western Ontario
ISBN:
Category : Econometric models
Languages : en
Pages : 52
Book Description
Expected Stock Returns and Variance Risk Premia
Author: Tim BollerslevPublisher:
ISBN:
Category : Stocks
Languages : en
Pages : 58
Book Description
Stock Returns and Expected Business Conditions
Author: Sean D. CampbellPublisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 48
Book Description
"We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwisestandard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R-squared. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion"--National Bureau of Economic Research web site
The Relationship between Stock Returns and Volatility in International Stock Markets
Author: Qi LiPublisher:
ISBN:
Category :
Languages : en
Pages : 27
Book Description
This study examines the relationship between expected stock returns and volatility in the twelve largest international stock markets during January 1980 - December 2001. Consistent with most previous studies, we find a positive but insignificant relationship during the sample period for the majority of the markets based on parametric EGARCH-M models. However, using a flexible semiparametric specification of conditional variance, we find evidence of a significant negative relationship between expected returns and volatility in six out of the twelve markets under study. The results lend support to the recent claim (Bekaert and Wu, 2000; Whitelaw, 2000) that stock market returns are negatively correlated with stock market volatility.
The Cross-section of Expected Stock Returns and Components of Idiosyncratic Volatility
Author: Seyed Reza Tabatabaei PoudehPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
We examine the relationship between stock returns and components of idiosyncratic volatility-two volatility and two covariance terms- derived from the decomposition of stock returns variance. The portfolio analysis result shows that volatility terms are negatively related to expected stock returns. On the contrary, covariance terms have positive relationships with expected stock returns at the portfolio level. These relationships are robust to controlling for risk factors such as size, book-to-market ratio, momentum, volume, and turnover. Furthermore, the results of Fama-MacBeth cross-sectional regression show that only alpha risk can explain variations in stock returns at the firm level. Another finding is that when volatility and covariance terms are excluded from idiosyncratic volatility, the relation between idiosyncratic volatility and stock returns becomes weak at the portfolio level and disappears at the firm level.
Beast on Wall Street
Author: Robert A. HaugenPublisher: Pearson
ISBN:
Category : Business & Economics
Languages : en
Pages : 170
Book Description
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.