Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility...

12

Transcript of Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility...

Page 1: Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility Created Date: 9/30/2007 7:42:31 AM
Page 2: Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility Created Date: 9/30/2007 7:42:31 AM
Page 3: Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility Created Date: 9/30/2007 7:42:31 AM
Page 4: Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility Created Date: 9/30/2007 7:42:31 AM
Page 5: Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility Created Date: 9/30/2007 7:42:31 AM
Page 6: Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility Created Date: 9/30/2007 7:42:31 AM
Page 7: Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility Created Date: 9/30/2007 7:42:31 AM
Page 8: Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility Created Date: 9/30/2007 7:42:31 AM
Page 9: Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility Created Date: 9/30/2007 7:42:31 AM
Page 10: Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility Created Date: 9/30/2007 7:42:31 AM
Page 11: Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility Created Date: 9/30/2007 7:42:31 AM
Page 12: Stock Returns and Volatility - Michigan State University · Title: Stock Returns and Volatility Created Date: 9/30/2007 7:42:31 AM

Idiosyncratic Volatility, Stock Market Volatility, and ... Volatility, Stock Market Volatility, and Expected Stock Returns* Hui Guo Robert Savickas Federal Reserve Bank of St. Louis

Idiosyncratic Volatility, Stock Market Volatility, and ... Volatility, Stock Market Volatility, and Expected Stock Returns* Hui Guo Robert Savickas Federal Reserve Bank of St. Louis

Volatility Spillovers Between Oil Prices And Stock Returns ...

Volatility Spillovers Between Oil Prices And Stock Returns ...

PREPRINT STATISTICS NO. 1/2008 · 1.1 Stochastic volatility models Financial time series, such as stock returns and exchange rates, present often a non stationary volatility. Volatility

PREPRINT STATISTICS NO. 1/2008 · 1.1 Stochastic volatility models Financial time series, such as stock returns and exchange rates, present often a non stationary volatility. Volatility

Stock returns and volatility A firm-level analysis - · PDF fileStock returns and volatility A firm-level analysis ... (Received April 1993; final version received June 1994) ... G.

Stock returns and volatility A firm-level analysis - · PDF fileStock returns and volatility A firm-level analysis ... (Received April 1993; final version received June 1994) ... G.

Academy of Financial Services - Implied Volatility Factors · 2017. 2. 4. · stock trading volume, returns, and put option trading activity. Realized volatility and stock returns

Academy of Financial Services - Implied Volatility Factors · 2017. 2. 4. · stock trading volume, returns, and put option trading activity. Realized volatility and stock returns

Paper_Impact of idiosyncratic volatility on stock returns: A cross-sectional study

Paper_Impact of idiosyncratic volatility on stock returns: A cross-sectional study

Terrorism, stock market returns, and volatility: A di … › 2016 › 02 › ...Terrorism, stock market returns, and volatility: A di erence-in-di erence approach Eric Lenz and Brian

Terrorism, stock market returns, and volatility: A di … › 2016 › 02 › ...Terrorism, stock market returns, and volatility: A di erence-in-di erence approach Eric Lenz and Brian

How does Investor Sentiment have Impacts on Stock Returns ... · How does Investor Sentiment have Impacts on Stock Returns and Volatility in the Growth Enterprise Market in China?

How does Investor Sentiment have Impacts on Stock Returns ... · How does Investor Sentiment have Impacts on Stock Returns and Volatility in the Growth Enterprise Market in China?

EXPECTED STOCK RETURNS AND VOLATILITY*rady.ucsd.edu/faculty/directory/valkanov/pub/classes/mfe/docs/... · K. R. French et ul.. Expected stock returns and roluttlq 2. Time series

EXPECTED STOCK RETURNS AND VOLATILITY*rady.ucsd.edu/faculty/directory/valkanov/pub/classes/mfe/docs/... · K. R. French et ul.. Expected stock returns and roluttlq 2. Time series

Volatility Expectations and Returns/media/Files/MSB... · 2019. 10. 23. · unconditionally expensive, appear \too cheap" after volatility rises. Similar to the pattern in stock returns,

Volatility Expectations and Returns/media/Files/MSB... · 2019. 10. 23. · unconditionally expensive, appear \too cheap" after volatility rises. Similar to the pattern in stock returns,

Does idiosyncratic volatility matter? Evidence from Chinese Stock … · 2015. 6. 7. · idiosyncratic volatility and expected returns, which phenomenon is also called “idiosyncratic

Does idiosyncratic volatility matter? Evidence from Chinese Stock … · 2015. 6. 7. · idiosyncratic volatility and expected returns, which phenomenon is also called “idiosyncratic

Oil Price Shocks and Volatility in Australian Stock Returns - Munich

Oil Price Shocks and Volatility in Australian Stock Returns - Munich

Volatility Leverage Returns

Volatility Leverage Returns

Real Options, Volatility, and Stock Returns - Rice Universitygrullon/pub/JF_2012.pdf · Real Options, Volatility, and Stock Returns GUSTAVO GRULLON, EVGENY LYANDRES, and ALEXEI ZHDANOV

Real Options, Volatility, and Stock Returns - Rice Universitygrullon/pub/JF_2012.pdf · Real Options, Volatility, and Stock Returns GUSTAVO GRULLON, EVGENY LYANDRES, and ALEXEI ZHDANOV

What Triggers Stock Market Jumps? · Jump clarity predicts future stock returns volatility: doubling the clarity index of a jump reduces future volatility by 68%. Third, jumps caused

What Triggers Stock Market Jumps? · Jump clarity predicts future stock returns volatility: doubling the clarity index of a jump reduces future volatility by 68%. Third, jumps caused

FORECASTING STOCK MARKET RETURNS VOLATILITY

FORECASTING STOCK MARKET RETURNS VOLATILITY

Intraday dynamics of stock market returns and volatilityrgencay/jarticles/dowintra.pdf · Intraday dynamics of stock market returns and volatility Ramazan Gen¸cay∗ Faruk Sel¸cuk†

Intraday dynamics of stock market returns and volatilityrgencay/jarticles/dowintra.pdf · Intraday dynamics of stock market returns and volatility Ramazan Gen¸cay∗ Faruk Sel¸cuk†

Volatility, Returns and Liquidity: The Relation … Volatility, Returns and Liquidity: The Relation Between Online Trading and Stock Market Behavior I. Introduction Online trading

Volatility, Returns and Liquidity: The Relation … Volatility, Returns and Liquidity: The Relation Between Online Trading and Stock Market Behavior I. Introduction Online trading

Stylized Facts of Stock Returns Volatility in Dhaka Stock ...oaji.net/articles/2016/354-1481352324.pdf · This paper examines the well-known stylized facts of stock returns volatiliy

Stylized Facts of Stock Returns Volatility in Dhaka Stock ...oaji.net/articles/2016/354-1481352324.pdf · This paper examines the well-known stylized facts of stock returns volatiliy

Expected Stock Returns and Earnings Volatilityaccounting.uwaterloo.ca/seminars/old_papers/Alan Guoming Huang... · Expected Stock Returns and Earnings Volatility∗ Alan Guoming Huang†

Expected Stock Returns and Earnings Volatilityaccounting.uwaterloo.ca/seminars/old_papers/Alan Guoming Huang... · Expected Stock Returns and Earnings Volatility∗ Alan Guoming Huang†