Private Information, Trading Volume, and Stock Return Variances PDF Download
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Author: Michael J. Barclay
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
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Author: Michael J. Barclay
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
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Author: Tim Bollerslev
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 58
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Author: Volodymyr M. Zdorovtsov
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Existing literature finds that equity return variances over trading periods substantially exceed those over nontrading periods and suggests three potential explanations for the effect: (1) more public information reaches the marketplace during normal business hours; (2) the trading activity of informed investors reveals their private information inducing greater return variance; (3) the process of trading itself introduces noise into stock prices and returns as investors overreact to each other's trades. I offer a direct test of the public information, private information, and noise hypotheses utilizing data on order flow in the after-hours, pre-market, and regular trading sessions along with an extensive dataset of the contemporaneous public information flow for a large sample of Nasdaq securities. Consistent with the findings of prior literature, I show evidence in favor of the private information hypothesis. Contrary to the existing studies, however, my results also support the public information hypothesis.
Author: Thomas H. McInish
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 26
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Author: Hans R. Stoll
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 88
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Author: Robert A. Ariel
Publisher: Palala Press
ISBN: 9781379114314
Category : History
Languages : en
Pages : 52
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This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author: Hui Guo
Publisher:
ISBN:
Category :
Languages : en
Pages : 77
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Using options-implied variance, a forward-looking measure of conditional variance, we revisit the debate on the idiosyncratic risk-return relation. In both cross-sectional (for individual stocks) and time-series (for the market index) regressions, we find a negative relation between options-implied variance and future stock returns. Consistent with Miller's (1977) divergence of opinion hypothesis, the negative relation gets stronger (1) for stocks with more stringent short-sale constraints or (2) when shorting stocks becomes more difficult. Moreover, the negative correlation of realized idiosyncratic variance or analyst forecast dispersion with future stock returns mainly reflects their close correlation with our conditional idiosyncratic variance measure.
Author: Rochelle L. Antoniewicz
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 66
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Author: Hui Guo
Publisher:
ISBN:
Category :
Languages : en
Pages : 80
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Book Description
Stock market variance-return or price relations are sometimes negative and sometimes positive. We explain these puzzling findings using a model with two ("bad" and "good") variances. In the model, conditional equity premium depends positively on bad variance and negatively on good variance. Market prices, which correlate negatively with discount rates, decrease with bad variance and increase with good variance. Because market variance is the sum of bad and good variances, its relation to conditional equity premium or market prices can be negative or positive, depending on relative importance of two variances. Our empirical results support model's main implications.
Author: Ronald W. Masulis
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
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