Results 231 to 240 of about 99,233 (263)
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Statistics and Computing, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
T. J. Harris, Wei Yu 0028
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
T. J. Harris, Wei Yu 0028
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Do Accruals Drive Stock Returns? A Variance Decomposition Analysis
2003This paper extends the variance decomposition framework of Campbell (1991), Campbell and Ammer (1993) and Vuolteenhao (2002) to address the relative value relevance of accruals news, cash flow news and expected return news in driving firm-level equity returns. The extension is based on the Feltham-Ohlson (1995, 1996) clean surplus relations.
Jeffrey L. Callen, Dan Segal
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The Quarterly Review of Economics and Finance, 2007
Abstract This paper investigates the dynamics in the British Pound (BP), Deutsche Mark (DM), Swiss Franc (SF), and Japanese Yen (JY) futures using Generalized Variance Decomposition analysis over the 1985–2005 period. The results support the interdependence hypothesis against the segregation model with the degree of susceptibility to foreign shocks ...
Elyas Elyasiani +2 more
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Abstract This paper investigates the dynamics in the British Pound (BP), Deutsche Mark (DM), Swiss Franc (SF), and Japanese Yen (JY) futures using Generalized Variance Decomposition analysis over the 1985–2005 period. The results support the interdependence hypothesis against the segregation model with the degree of susceptibility to foreign shocks ...
Elyas Elyasiani +2 more
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Corporate Social Performance and Idiosyncratic Risk: A Variance Decomposition Analysis
SSRN Electronic Journal, 2013I investigate the relationship between corporate social responsibility and idiosyncratic risk using a 17 year panel of over 3,269 US listed companies. Following Vuolteenaho (2002), I use a three state vector autoregressive model of expected returns and decompose the residuals into earnings and discount rate shocks.
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The Accounting Review, 2006
Using the Vuolteenaho (2002) variance decomposition methodology, this study assesses the relative value relevance of cash flow, accrual, and expected return news on SEC and preliminary earnings filing dates, as measured by their contribution to the volatility of unexpected returns.
Jeffrey L. Callen +2 more
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Using the Vuolteenaho (2002) variance decomposition methodology, this study assesses the relative value relevance of cash flow, accrual, and expected return news on SEC and preliminary earnings filing dates, as measured by their contribution to the volatility of unexpected returns.
Jeffrey L. Callen +2 more
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Chilean Stock Market Expected Return Analysis: A Variance Decomposition
SSRN Electronic Journal, 2010The main objective of this paper is to quantify the effect of expectation changes about discount rate and dividend growth rate over the Chilean market portfolio returns. The model applied was taken from the works of Campbell and Shiller (1988, 1988a), Campbell (1991) and Campbell and Vuolteenaho (2005).
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Impulse response analysis and forecast error variance decomposition in SVAR modelling
1997In this chapter we explain how to use estimated Structural VAR models to perform dynamic simulations, via impulse response analysis (section 5.1) and forecast error variance decomposition (section 5.2). After presenting the asymptotic results which are used to obtain confidence bounds around the estimated coefficient, in section 5.3 we present some ...
Gianni Amisano, Carlo Giannini
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