Oil Volatility Risk and Expected Stock Returns PDF Download
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Author: Peter Christoffersen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Peter Christoffersen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Cesario Mateus
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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This paper investigates the role of volatility risk on stock return predictability. Using 596 stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE) for the period from January 2001 to December 2010 we examine the relation between different idiosyncratic volatility measures and expected stock returns for a period that involves both the dotcom bubble and the recent financial crisis. We first show that implied idiosyncratic volatility is the best stock return predictor among the different volatility measures used. Second, cross-section firm-specific characteristics are important on stock returns forecast. Third, we provide evidence that higher short selling constraints impact negatively stock returns having liquidity the opposite effect.
Author: Ferhat Akbas
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Elyas Elyasiani
Publisher:
ISBN:
Category :
Languages : en
Pages : 9
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We examine the impact of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S. industries using the GARCH (1,1) technique. We find strong evidence in support of the view that oil price fluctuations constitute a systematic asset price risk at the industry level as nine of the thirteen sectors analyzed show statistically significant relationships between oil-futures return distribution and industry excess return. These industries are affected either by oil futures returns, oil futures return volatility or both. In general, excess returns of the oil-user industries are more likely to be affected by changes in the volatility of oil returns, than those of oil return itself. Volatilities of industry excess returns are time-varying, and return volatility for a number of sectors, appears to have long memory. Fama-French factors show universal statistical and high economic significance as risk factors influencing industry excess returns.
Author: Kenneth R. French
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 35
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Author: Nobuhiro Nakamura
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Category :
Languages : en
Pages :
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Author: Andrew Ang
Publisher:
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Category : Stocks
Languages : en
Pages : 55
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"We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average returns. This phenomenon cannot be explained by exposure to aggregate volatility risk. Size, book-to-market, momentum, and liquidity effects cannot account for either the low average returns earned by stocks with high exposure to systematic volatility risk or for the low average returns of stocks with high idiosyncratic volatility"--National Bureau of Economic Research web site.
Author: Oghenovo A. Obrimah
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
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This study finds crude oil prices (`oil prices') affect market or portfolio expected returns on the NSE only via inducement of changes to risk aversion parameters of the `representative agent' who has exposure to both stock market return volatility risk and oil price risk. I refer to this effect as the `risk' effect on stock returns. Independent of effects on risk aversion parameters, changes to oil prices do not have any direct, equivalently `demand' effect on market or portfolio returns. Prior studies of effects of oil prices on stock returns test for presence of the demand effect, but do not allow for possibility of inferring of the risk effect. Given the empirical framework in this study embeds the demand effect as a special case, empirical findings provide a basis for reexamination of importance and/or robustness of the demand effect. As developed, the intertemporal framework enables inferences as to the extent to which arbitrage pricing factors, e.g. crude oil prices can be characterized to derive relevance for asset pricing from interactions with preferences of agents within stock markets.
Author: Mansour Alharaib
Publisher:
ISBN:
Category : Capital movements
Languages : en
Pages : 340
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Book Description
This study examines how stock market returns and volatility responses to macroeconomic news announcements in US and Europe, and oil prices. Moreover, the market risk associated with these stock markets based on selected countries and regions is also analyzed here. In all chapters, the data is in a weekly time horizon and it covers 21 countries from different contents. In particular, Data covers three different time periods, i.e. full sample from 1/1/2000 to 12/31/2015, before the financial crisis, i.e. from 1/1/2000 to 9/27/2008 and after the financial crisis, i.e. from 10/11/2008 to 12/31/2015. Chapter 2 studies the impact of macroeconomic news announcements on stock markets in 21 countries using US and European countries macroeconomic news announcements. The first part investigates the impact of macroeconomic news announcements surprises in US and European Countries on stock markets returns in these countries. The second part analyzes the impact of macroeconomic news announcements in US and European Countries on stock markets volatility in these countries. Our results show that stock markets in selected countries react differently to macroeconomic news announcement in US and Europe. Chapter 3 study the interaction and volatility spillover between oil prices and stock markets returns and volatility in selected countries and regions. Oil prices are based on West Texas Intermediate (WTI). The analysis use VAR(1)-GARCH(1,1) model to capture the interdependence between stocks market and oil prices. The findings show that there is interdependence between stock markets and oil price changes in most selected countries and regions. Chapter 4 study the market risk in stock markets returns in selected countries and regions using IGARCH(1,1) and GARCH(1,1) to obtain the value at risk (VaR) and the expected shortfall (ES). The findings of chapter 4 show that market risk was high for most selected countries before the financial crisis and low after the financial crisis.
Author: James D. Hamilton
Publisher: Springer Science & Business Media
ISBN: 3642511821
Category : Business & Economics
Languages : en
Pages : 267
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Book Description
This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.
