excess volatility
Bond Illiquidity and Excess Volatility
... between excess volatility in the CDS market and ac- counting variables, the CDS spread, and CDS liquidity ...greater excess volatility, consistent with part of the excess ...
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Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation
... Recent empirical and theoretical investigations have attacked the EMH and its implications in various ways. From a theoretical viewpoint, it has been shown that arbitrageurs may have lim- ited capacity to drive the ...
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Inventory investment in the UK: Excess volatility, financial effects and the cost of capital
... A second development has been to consider models which take more explicit account of stock-outs of lines of inventories, an approach which does apply to all categories of inventories. Kahn (1987) analyses the ...
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Rational Speculators, Contrarians and Excess Volatility
... observed volatility of asset prices. This result, known as excess volatility, has been documented in many studies, such as Shiller (1981), Campbell and Shiller (1987), West (1988), or the survey by ...
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Revisiting exchange rate puzzles
... the excess volatility puzzle of real exchange rates practically disappears or becomes minor for the vast majority of the fixed-rate economies; there is less evidence for an excess reaction of the ...
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Commodity booms and busts in emerging economies
... This paper has sought to answer a classical question in international macroeconomics: what causes the large swings in economic activity in emerging markets? The literature has proposed a variety of sources of shocks, but ...
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VOLATILITY IN THE AMERICAN CRUDE OIL FUTURES MARKET 1
... on volatility aims to check whether the presence of a futures market induces a supplementary ...of volatility during exchange trading hours: i) whereas the crude oil market is a worldwide market, ...
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Short Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach
... idiosyncratic volatility is a proxy for investor disagreement and noise (overconfidence) ...that volatility, or uncertainty about firm fundamentals, is positively correlated with investor differences of ...
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An analytical derivation of the relation between idiosyncratic volatility and expected stock return
... idiosyncratic volatility and expected return generally do so in ...idiosyncratic volatility and expected return uncovered through the single-factor model is valid in the case of DGPs specified by ...
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Global engagement and returns volatility
... estimating volatility models based on firm-level panel data, because stock returns have been show to display substantial cross-sectional and time-dependence, both in their first and second moments (Andersen et ...
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Essays on Empirical Asset Pricing
... against volatility factor in each correlation quintile, along with the equal-weighted average of these factors, which constitute our overall BAV ...low volatility and high ...ranked volatility (lower ...
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Adoption of bovine somatotropin in the United States and implications for international trade of dairy products : a thesis presented in partial fulfilment of the requirement for the degree of Master of Agricultural Economics, Massey University, Palmerston North, New Zealand
... Finally, because of the small size of the world dairy market and its price volatility, any sudden increase in excess supply from a country such as the US would lead to a decline in price[r] ...
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Excess Reserves, Monetary Policy and Financial Volatility
... of excess reserves is foreign currency in‡ows (Heenan (2005) and Ganley ...of excess liquidity is in‡ation. Because in‡ation leads to higher volatility in relative prices and an increase in riskiness ...
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The role of investor sentiment in stock market
... Classical finance theory has formed the basis for most finance research for a long time but has come under scrutiny over the past a few decades. A growing number of studies find that well-accepted finance propositions ...
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Returns to Low Risk Investment Strategy
... Abstract: The paper studies the low-risk anomaly in the Indian equity market represented by stocks listed on National Stock Exchange (NSE) for the period January 2001 to June 2016. The study provides evidence that low- ...
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... high volatility in cash flow streams due to unstable economic and political environments (Monga & Lin, ...of volatility, inadequate inputs, uncertain basic goods supply such as electricity and water ...
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Evaluation of the efficiency of European Union farms: a risk-adjusted return approach . Agric. Econ. – Czech, 64: 241–255.
... During the research period, EU farms were engaged in eight types of farming: field crops, horticulture, wine, other permanent crops, milk, other grazing livestock, granivores and mixed. The analysis revealed that the ...
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Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields
... using Newey-West and Hansen-Hodrick adjusted tests for joint significance as well as the Bayes Information Criterion (BIC). 8 Finally, as shown below, the explanatory power arises typically from those factors which reveal ...
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VOLUMETRIC AND VISCOMETRIC STUDY OF AQUEOUS SOLUTION OF ETHYLENE GLYCOL, PROPYLENE GLYCOL IN ISO-PROPANOL
... of excess free volume for the mixtures of iso-propanol + aqueous ethylene glycol/propylene ...These excess values are negative over the entire composition range of ...
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Measurement of Ultrasonic Velocityin Binary Liquid Mixture of N,N-Dimethyl Acetamide (NNDA) + Diethyl Amine(DEA)
... (Figures6 and 7) exhibit positive deviations over the entire composition range of NNDA. This suggests that in addition to dipole-dipole and dipole-induced dipole interactions, dispersive forces are also operative. It has ...
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