Multifrequency news and stock returns
Our rough guess is there are 9,500 words in this book.
At a pace averaging 250 words per minute, this book will take 0 hours and 38 minutes to read. With a half hour per day, this will take 1 days to read.
How long will it take you?
This book will take an estimated to read at a reading speed averaging words per minute. With 30 minutes per day, this will take to read.
Enter your reading speedYou can take one of our WPM reading speed tests to find your reading speed.
Create a free account to track your reading progress, build your reading list, and set reading goals.
Author
Contributions
- Fisher, Adlai J. - Contributor
- National Bureau of Economic Research. - Contributor
Publication
2005 - National Bureau of Economic Research, Cambridge, Mass, Massachusetts
Language
English
Word Count
9,500 words, Guess
Page Count
38 pages
Identifiers
- OCLC Control Number61109919
- Open LibraryOL17626656M
Description
"Recent research documents that aggregate stock prices are driven by shocks with persistence levels ranging from daily intervals to several decades. Building on these insights, we introduce a parsimonious equilibrium model in which regime-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with up to 256 discrete states on daily U.S. equity returns. The multifrequency equilibrium has significantly higher likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 times larger. We show in an extension that Bayesian learning about stochastic volatility is faster for bad states than good states, providing a novel source of endogenous skewness that complements the "uncertainty" channel considered in previous literature (e.g., Veronesi, 1999). Furthermore, signal precision induces a tradeoff between skewness and kurtosis, and economies with intermediate investor information best match the data"--National Bureau of Economic Research web site.
Subjects
Links
Other Editions
- Multifrequency news and stock returns
Reader Reviews
No reviews yet for this book.
Be the first to share your thoughts!