Results 261 to 270 of about 206,316 (302)

Idiosyncratic Volatility and Stock Prices

SSRN Electronic Journal, 2017
The purpose of the research is to investigate the Accrual Principles in Accounting that contained in the Company's Financial Statements. The accrual principle is reflected in the Balance Sheet and Income Statement. Accrual measurements in the Balance Sheet are measured using Persistence Current Non-Current Operating Accrual, Persistence Non-Current ...
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6 Stock price volatility

1996
Publisher Summary The early interchanges between academics and finance practitioners about capital market efficiency generated more heat than light. Models derived from market efficiency, such as capital asset pricing model (CAPM)-based portfolio management models, made some inroads among practitioners, but for the most part the debate between ...
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Individualism, Synchronized Stock Price Movements, and Stock Market Volatility

SSRN Electronic Journal, 2012
PurposeThe purpose of this paper is to examine the impact of national culture on herding behavior across international financial markets.Design/methodology/approachThe relation between national culture and investor behavior, and how it impacts overall market volatility is studied by examining synchronized stock price movements and stock market ...
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CPF stocks: Prices, returns and volatility

Asia Pacific Journal of Management, 1992
We identify a unique phenomenon in the Central Provident Fund (CPF) stocks where stock prices increase in the absence of fundamental changes in firm value. CPF stocks are stocks endorsed by the Central Provident Fund Board in Singapore as approved investment for its members. CPF stocks offer significant price appreciation and value preservation as well
Swee-Sum Lam, Kai-Chong Tsui
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Takeovers and stock price volatility [PDF]

, 1990
An examination of the relation between takeovers and stock price volatility. The analysis focuses on the Martingale (efficient markets) Model of stock price behavior and an alternative view in which stock prices reflect values to participants in a market for corporate control. This paper includes a mathematical treatment of the subject.
Jeffrey M. Lacker, John A. Weinberg
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Forecasting the Volatility of Stock Price Index

Expert Systems with Applications, 2006
Accurate volatility forecasting is the core task in the risk management in which various portfolios’ pricing, hedging, and option strategies are exercised. Prior studies on stock market have primarily focused on estimation of stock price index by using financial time series models and data mining techniques.
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Pricing Volatility of Stock Returns With Volatile and Persistent Components

SSRN Electronic Journal, 2007
This paper introduces a two-component volatility model based on first moments of both components to describe the dynamics of speculative return volatility. The two components capture the volatile and the persistent part of volatility, respectively. The model is applied to 10 Asia-Pacific stock markets. Their in-mean effects on returns are tested.
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Bubbles and Stock-Price Volatility

1990
The possible contribution of speculative bubbles to asset-price fluctuations has long intrigued observers of financial markets. Economist, however, have not attempted to formally test for the existence of asset-price bubbles until recently, probably because a prerequisite for developing such tests was a compelling joint hypothesis about how asset ...
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Stock price volatility and equity premium

Journal of Monetary Economics, 2001
A dynamic general equilibrium model of stock prices is developed which yields a stock price volatility and equity premium that are close to the historical values. Non-observability of the expected dividend growth rate introduces an element of learning which increases the volatility of stock price. Calibration to the U.S.
Brennan, Michael J., Xia, Yihong
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Modelling Regime‐Specific Stock Price Volatility*

Oxford Bulletin of Economics and Statistics, 2009
AbstractSingle‐state generalized autoregressive conditional heteroscedasticity (GARCH) models identify only one mechanism governing the response of volatility to market shocks, and the conditional higher moments are constant, unless modelled explicitly.
Carol Alexander, Emese Lazar
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