Idiosyncratic Volatility, Fundamentals, and Institutional Herding PDF Download
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Author: Eric C. Chang
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
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Book Description
We offer evidence at both portfolio level and firm level that variations in idiosyncratic volatility are related to both behavioral and fundamental factors. Using Japanese data from 1975 to 2003, we show that both institutional herding and firm earnings are positively related to idiosyncratic volatility. We reject the hypothesis that institutional investors herd toward stocks with high idiosyncratic volatility and systematic risk. Our results suggest that a behavior story may explain the negative premium earned by high volatility stocks found by Ang et al. (2004). In addition to cross sectional results, we present preliminary results on the co-movement of dispersions of change in institutional ownership and return-on-asset with the market aggregate idiosyncratic volatility in the Japanese market. Our results, when related to evidence from the US market, suggest that investor behavior and stock fundamentals may both help explain the time-series pattern of market aggregate idiosyncratic volatility.
Author: Eric C. Chang
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
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Book Description
We offer evidence at both portfolio level and firm level that variations in idiosyncratic volatility are related to both behavioral and fundamental factors. Using Japanese data from 1975 to 2003, we show that both institutional herding and firm earnings are positively related to idiosyncratic volatility. We reject the hypothesis that institutional investors herd toward stocks with high idiosyncratic volatility and systematic risk. Our results suggest that a behavior story may explain the negative premium earned by high volatility stocks found by Ang et al. (2004). In addition to cross sectional results, we present preliminary results on the co-movement of dispersions of change in institutional ownership and return-on-asset with the market aggregate idiosyncratic volatility in the Japanese market. Our results, when related to evidence from the US market, suggest that investor behavior and stock fundamentals may both help explain the time-series pattern of market aggregate idiosyncratic volatility.
Author: Sushil Bikhchandani
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 38
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Book Description
Author: Cheng F. Lee
Publisher: Center for PBBEFR & Airiti Press
ISBN: 9866286215
Category : Business & Economics
Languages : en
Pages :
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Book Description
Advances in Investment Analysis and Portfolio Management (New Series) is an annual publication designed to disseminate developments in the area of investment analysis and portfolio management. The publication is a forum for statistical and quantitative analyses of issues in security analysis, portfolio management, options, futures, and other related issues. The objective is to promote interaction between academic research in finance, economics, and accounting and applied research in the financial community.
Author: Ryūzō Satō
Publisher:
ISBN: 9780521452281
Category : Business & Economics
Languages : en
Pages : 272
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Book Description
This volume examines the ramifications of deregulation in various financial markets throughout the 1980s.
Author: Syed Jawad Hussain Shahzad
Publisher: Frontiers Media SA
ISBN: 2832507174
Category : Science
Languages : en
Pages : 353
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Book Description
Author: Mondher Bellalah
Publisher: World Scientific
ISBN: 981447441X
Category : Business & Economics
Languages : en
Pages : 645
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Book Description
This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economics, as a “high level” one. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and securitisation. The effects of volatility and risk on the valuation of financial assets are further studied in detail.The second half of the book is dedicated to the banking industry, banking competition on the credit market, banking risk and distress, market valuation, managerial risk taking, and value in the ICT activity. With its inclusion of new concepts and recent literature, academics and risk managers will want to read this book.
Author: Mrs.Anne Jansen
Publisher: International Monetary Fund
ISBN: 9781557757364
Category : Business & Economics
Languages : en
Pages : 92
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Book Description
Hedge funds are collective investment vehicles, often organized as private partnerships and resident offshore for tax and regulatory purposes. Their legal status places few restrictions on their portfolios and transactions, leaving their managers free to use short sales, derivative securities, and leverage to raise returns and cushion risk. This paper considers the role of hedge funds in financial market dynamics, with particular reference to the Asian crisis.
Author: Gourishankar S. Hiremath
Publisher: Springer Science & Business Media
ISBN: 8132215907
Category : Business & Economics
Languages : en
Pages : 135
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Book Description
India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.
Author: Chen He
Publisher:
ISBN:
Category :
Languages : en
Pages : 152
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Book Description
Author: Ayan Bhattacharya
Publisher: CFA Institute Research Foundation
ISBN: 1944960929
Category : Business & Economics
Languages : en
Pages : 38
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Book Description
Exchange-traded funds (ETFs) revolutionized asset markets by using an innovative structure to make investing in a wide variety of asset classes simpler and cheaper. With their growing importance has come increasing concern that these products pose new risks to market stability and performance. This paper examines whether ETFs affect systemic risks in financial markets and, if they do, what the mechanism is by which this impact occurs and what can be done to keep the risks under control. We review current research and empirical evidence on these issues and discuss some emerging risks in ETFs. We ask whether we have the right “rules of the road” to deal with the new drivers of market behavior.
