Time-varying persistence in expected returns
Article Abstract:
With the exceptions of the great depression and the second world war, stock price volatility has been fairly constant. The time-variation in expected returns is driven by price of risk variations such that at times of high risk, news affects asset prices more that at times of low risk.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
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Intraday futures market behaviour around major scheduled macroeconomic announcements: Australian evidence
Article Abstract:
The futures market behavior, as exemplified in a survey of the Sydney Futures Exchange trading data, showed rapid adjustment reaction to macroeconomic news.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
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Comparable firms and the precision of equity valuations
Article Abstract:
Investor's estimate of a firm's true equity value relies on information and this affects stock return volatility. This is more so when information pertains to firms in the same line of business as the firm being valued.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
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