On the Relationship Between the Conditional and Volatility of Stock Returns PDF Download
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Author: Michael W. Brandt (Ph.D.)
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages :
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Book Description
Author: Michael W. Brandt (Ph.D.)
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages :
Get Book Here
Book Description
Author: Michael W. Brandt
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 49
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Book Description
We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a strong and robust negative correlation between the innovations to the conditional moments that leads to pronounced counter-cyclical variation in the Sharpe ratio. We document significant lead-lag correlations between the conditional moments that also appear related to business cycles. Finally, we show that although the conditional correlation between the mean and volatility is negative, the unconditional correlation is positive due to the lead-lag correlations
Author: Michael W. Brandt
Publisher:
ISBN:
Category :
Languages : en
Pages : 49
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Book Description
Author: Qi Li
Publisher:
ISBN:
Category :
Languages : en
Pages : 27
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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.
Author: Rochelle L. Antoniewicz
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 66
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Book Description
Author: Raj S. Dhankar
Publisher: Springer Nature
ISBN: 8132239504
Category : Business & Economics
Languages : en
Pages : 323
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Book Description
This book covers all aspects of modern finance relating to portfolio theory and risk–return relationship, offering a comprehensive guide to the importance, measurement and application of the risk–return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in developing economies. Part III highlights the significance of risk–return analysis as a prerequisite for investment decisions, while Part IV examines the selection and performance appraisals of portfolios against the backdrop of the risk–return relationship. It also examines new tools such as the value-at-risk application for mutual funds and the applications of the price-to-earnings ratio in portfolio performance measurement. Lastly, Part V explores contemporary issues in finance, including the relevance of Islamic finance in the increasingly volatile global financial system.
Author: Jean-Gabriel Cousin
Publisher:
ISBN:
Category :
Languages : en
Pages : 59
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Book Description
The relation between information flow and asset prices behavior is one of the key issues of modern finance. Our study investigates more closely the link between frequency of information arrivals and stock return volatility. It aims precisely to test empirically the mixture of distribution hypothesis and to check whether the stock returns distribution is driven by the frequencies of information arrivals on the Paris stock Exchange (Euronext). We analyse the impact of news on volatility at the firm-level. We opt for a model with two (Markov switching) regimes of volatility that we apply to all stocks pertaining to the CAC40 index from January 1999 to December 2003. We find a positive and significant but marginally decreasing impact of the daily frequency of information arrivals on the probability to be in a state of high volatility for each of the 40 companies considered. The subsequent model for panel data allows us to conclude that this impact crucially depends on the timing and the subject of the news release. Asymmetry and informational content issues are also investigated. Results are consistent with previous literature, although we show that any asymmetric effect disappears once the news informational content is accounted for.
Author: Manolis G. Kavussanos
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The purpose of the paper is to examine the effects of different trading systems, the open outcry and the electronic systems, which differ in the speed of dissemination of order flow information, on the relation between trading activity and conditional volatility, on the probability distribution of returns, and on the asymmetric impact of news. The paper draws on the experience of the Athens Stock Exchange and finds that the establishment of the automated trading system caused, a) the asymmetric effects to disappear; b) the persistence of volatility to be reduced dramatically; and c) to improve the forecast of trading activity leaving only news to affect volatility.
Author: Adam Zaremba
Publisher: Springer
ISBN: 3319915304
Category : Business & Economics
Languages : en
Pages : 325
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Book Description
This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Author: Ramon P. DeGennaro
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. This paper uses GARCH-in-mean models to examine the relationship between mean returns on a stock portfolio and its conditional variance or standard deviation.After estimating a variety of models from daily and monthly portfolio return data we conclude that any relationship between mean returns and own variance or standard deviation is weak. The results suggest that investors consider some other risk measure to be more important than the variance of portfolio returns.
