Idiosyncratic risk does not matter: a re-examination of the relationship between average returns and average volatilities
Article Abstract:
A study re-examining the Goyal and Santa-Clara study on average stock returns relationship with pre-determined average return volatility measures is presented. The findings of Goyal and Santa-Clara that idiosyncratic risk matters in asset pricing are found to be relevant only in respect of the data in the 1990s.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2005
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Price volatility, welfare, and trading hours in asset markets
Article Abstract:
Issues concerning asset markets are discussed with emphasis on the effect of increasing trading hours. Changes to prices and the impact on social welfare is examined and the results are described.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
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A note on nonstationarity, structural breaks, and the Fisher effect
Article Abstract:
Inflation, nominal and real interest rates in the US are found to be trend-stationary with a structural break in mean and drift rate of deterministic trends.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2000
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