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Stock Prices and Heteroscedasticity
The Journal of Business, 1976This paper provides evidence that the variance of returns on common stocks is not constant through time but is related to the volume of shares traded. In other words, returns on stocks are heteroscedastic. The work extends the approaches of Osborne, Granger and Morgenstern, and Clark.' Distributions of returns are known to be leptokurtic.
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Stock Price Synchronicity and Liquidity
SSRN Electronic Journal, 2008Abstract We argue and provide evidence that stock price synchronicity affects stock liquidity. Under the relative synchronicity hypothesis, higher return co-movement (i.e., higher systematic volatility relative to total volatility) improves liquidity.
Chan, K., Hameed, A., Kang, W.
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On the increments distribution of stock prices
Applied Mathematics-A Journal of Chinese Universities, 2001The authors construct the models of increment distributions of stock prices in two approaches. The first approach is based on limit theorems of random summation. The second is based on the statistical analysis of increment distributions of the logarithms of stock prices.
Korolev, V. Yu. +2 more
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Insider Trading and Stock Prices
SSRN Electronic Journal, 2011Abstract We examine the informational content of insider trades and its value to market investors using a US dataset. Overall, our results support the view that insider actions have positive predictive power for future returns. However, these results may come with some caveats.
Manouchehr Tavakoli +2 more
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Forecasting Stock Market Prices
The Journal of Finance, 1977building techniques to publicly available information could have permitted an investor to earn a portfolio return in excess of the return which was commensurate with the portfolio risk. The question of equity market efficiency over time is an area of constant disagreement, especially between practitioners and theoreticians. The disagreement is really a
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THE DISTRIBUTION OF RETURNS OF STOCK PRICES
International Journal of Theoretical and Applied Finance, 2000We perform a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets. We consider (i) the trades and quotes (TAQ) database, for which we analyze 40 million records for 1000 US companies for the 2-year period 1994–95, and (ii)
Amaral, Luís A. N. +4 more
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Option Prices as Predictors of Equilibrium Stock Prices
The Journal of Finance, 1982ABSTRACTThe Black‐Scholes option pricing model, modified for dividend payments, is used to calculate jointly implied stock prices and implied standard deviations. A comparison of the implied stock prices with observed stock prices reveals that the implied prices contain information regarding equilibrium stock prices that is not fully reflected in ...
Manaster, Steven +1 more
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The analysis and prediction of stock price
2013 IEEE International Conference on Granular Computing (GrC), 2013Nowadays, the stock market has attracted more and more people's attention with its high risk and high returns, and forecasting method of stock price also emerge in an endless stream, such as nonlinear regression. In this paper, we introduce a kind of method based on Hidden Markov Model to forecast stock price trend. Which is different from the existing
Tao Xing, Yuan Sun, Qian Wang, Guo Yu
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Determinants of telecommunication stock prices
Journal of Economic Studies, 2013Purpose – The purpose of this paper is to analyze the determinants affecting the stock prices of telecommunications firms in both developed and developing countries around the world. Design/methodology/approach – The empirical analysis is performed using panel ...
Gregoriou, Andros +2 more
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The Speed of Stock Price Discovery
SSRN Electronic Journal, 2012We develop closed-form expressions for the path and speed of stock price discovery in a utility-based CAPM with wealth effects. Two investors with uniquely bounded risk-preferences always apply opposite portfolio rebalancing trades. These trades determine the intra-period path and speed of price discovery in a Walrasian, tâtonnement setup.
Arieh Gavious, Haim Kedar-Levy
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