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Author: Padamja Singal
Publisher:
ISBN:
Category : Labor supply
Languages : en
Pages : 154
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Book Description
Author: Padamja Singal
Publisher:
ISBN:
Category : Labor supply
Languages : en
Pages : 154
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Book Description
Author: Robert A. Haugen
Publisher: Pearson
ISBN:
Category : Business & Economics
Languages : en
Pages : 170
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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.
Author:
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages :
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Book Description
"We use daily price indices obtained from the Morgan Stanley Capital International to construct realized volatility for 18 individual stock markets, including the US, and the world stock market. In contrast with the CAPM, we find that volatility by itself does not forecast excess returns in most countries; however, it becomes a significant predictor when combined with the US consumption-wealth ratio, which, as argued by recent authors, is a proxy for the liquidity premium. The latter result mainly reflects the fact that volatility in international stock markets co-moves closely with the US stock volatility: The former loses its predictive power if we also include the latter in the forecasting equation. Moreover, the out-of-sample forecast of the US or the world stock market returns appears to be a good proxy for conditional returns of international stock markets. Our results thus indicate that (1) volatility is one of important determinants of the equity premium and (2) international stock markets are integrated"--Federal Reserve Bank of St. Louis web site.
Author: Robert F. Whitelaw
Publisher:
ISBN:
Category : Speculation
Languages : en
Pages : 54
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Book Description
This paper documents predictable time-variation in stock market Sharpe ratios. Predetermined financial variables are used to estimate both the conditional mean and volatility of equity returns, and these moments are combined toestimate the conditional Sharpe ratio. In sample, estimated conditional Sharpe ratios show substantial time-variation that coincides with the variation in ex post Sharpe ratios and with the phases of the business cycle. Generally, Sharpe ratios are low at the peak of the cycle and high at the trough. In out-of-sample analysis, using 10-year rolling, regressions, we can identify periods in which the ex post Sharpe ratio is approximately three times larger than its full-sample value. Moreover, relatively naive market-timing strategies that exploit this predictability can generate Sharpe ratios more than 70% larger than a buy-and-hold strategy
Author: John Y. Campbell
Publisher:
ISBN:
Category : Portfolio management
Languages : en
Pages : 74
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Book Description
This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures move together countercyclically and help to predict GDP growth. Market volatility tends to lead the other volatility series. Factors that may be responsible for these findings are suggested.
Author: Greg N. Gregoriou
Publisher: CRC Press
ISBN: 1420099558
Category : Business & Economics
Languages : en
Pages : 654
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Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author:
Publisher: 清华大学出版社有限公司
ISBN: 9787810822855
Category : Corporations
Languages : en
Pages : 802
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Book Description
Author: J William Petty
Publisher: Pearson Higher Education AU
ISBN: 1442551623
Category : Business & Economics
Languages : en
Pages : 809
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Book Description
The sixth edition of Financial Management provides students with an overview of financial management suited to the first course in finance. The focus of the text is on the big picture, providing an introduction to financial decision making grounded in current financial theory and the current state of world economic conditions. Attention is paid to both valuation and capital markets, as well as their influence on corporate financial decisions. The 10 basic principles of finance are introduced in the first chapter and woven throughout the text, to give students a solid foundation from which to build their knowledge of finance. The goal of this text is to go beyond teaching the tools of a discipline or a trade and help students gain a complete understanding of the subject. This will give them the ability to apply what they have learnt to new and as yet unforeseen problems—in short, to educate students in finance.
Author: Dinabandhu Bag
Publisher: Springer Nature
ISBN: 9811611351
Category : Business & Economics
Languages : en
Pages : 177
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Book Description
This textbook provides a first-hand account of impact of volatility on valuations. It focuses on valuation of the investment with fair, practical and insightful explanations. Volatility in markets can form the foundation of fair value. A marginal change in volatility has a significant impact on the effective cost of borrowing (capital). Portfolio managers, fund managers and corporates continue to watch as prices plunge due to volatility and can impose future restrictions on their skillful maneuver. The book highlights the approaches, design of tests, comparison and matching or making of models. It delves into techniques for measuring the contours and boundaries of risk and translating the losses to end impact. It explains the post facto and post period nuances to recover from money loss. The book further elaborates combining positions and hedging, to evaluate and choose to conduct tests of effectiveness. It provides guidance on benchmarks of portfolios, tax implications and carrying forward benefits of losses. The text includes examples and business use cases that build on analysis, common tools and highlights the end use of volatility for stakeholders.
Author: Mark Minervini
Publisher: McGraw Hill Professional
ISBN: 0071807233
Category : Business & Economics
Languages : en
Pages : 353
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Book Description
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