A Behavioral Explanation for the Negative Asymmetric Return-Volatility Relation

2008 ◽  
Author(s):  
Ann Marie Hibbert ◽  
Robert T. Daigler ◽  
Brice Dupoyet
Keyword(s):  
Return Volatility

Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets

CFA Digest ◽  
2012 ◽  
Vol 42 (2) ◽  
pp. 56-58
Author(s):  
Johann U. de Villiers
Keyword(s):  
Emerging Markets ◽  
Stock Return ◽  
Foreign Ownership ◽  
Return Volatility ◽  
Firm Level ◽  
Stock Return Volatility

The Uncertainty of Non-Accounting Information in Analysts' Forecasts and Stock Return Volatility

2008 ◽  
Author(s):  
Yaowen Shan ◽  
Stephen L. Taylor ◽  
Terry Walter
Keyword(s):  
Stock Return ◽  
Accounting Information ◽  
Return Volatility ◽  
Stock Return Volatility

Precarious Politics and Return Volatility

2011 ◽  
Author(s):  
Maria K. Boutchkova ◽  
Hitesh Doshi ◽  
Art Durnev ◽  
Alexander Molchanov
Keyword(s):  
Return Volatility

Market Integration, Commodity VIXs, and the Return-Volatility Relation

2010 ◽  
Author(s):  
Robert T. Daigler ◽  
Chaiyuth Padungsaksawasdi
Keyword(s):  
Market Integration ◽  
Return Volatility

Ownership Determinants of Stock Return Volatility

2015 ◽  
Author(s):  
HHkan Jankensggrd ◽  
Anders Wilhelmsson
Keyword(s):  
Stock Return ◽  
Return Volatility ◽  
Stock Return Volatility

The Effects of Ownership on the Stock Return Volatility : Evidence from Korea

2019 ◽  
Vol 32 (6) ◽  
pp. 2109-2132
Author(s):  
Hee-Seog Kim ◽  
Kyung-Shick Cho
Keyword(s):  
Stock Return ◽  
Return Volatility ◽  
Stock Return Volatility

The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect

2021 ◽  
pp. 100641
Author(s):  
Afees A. Salisu ◽  
Ahamuefula E. Ogbonna
Keyword(s):  
Return Volatility ◽  
News Effect

News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*

2020 ◽  
Author(s):  
Robert F Engle ◽  
Martin Klint Hansen ◽  
Ahmet K Karagozoglu ◽  
Asger Lunde
Keyword(s):  
Information Processing ◽  
Public Information ◽  
Selection Procedure ◽  
Autoregressive Process ◽  
Return Volatility ◽  
Market Outcomes ◽  
The Public ◽  
Additional Information ◽  
Financial News ◽  
The Impact

Abstract Motivated by the recent availability of extensive electronic news databases and advent of new empirical methods, there has been renewed interest in investigating the impact of financial news on market outcomes for individual stocks. We develop the information processing hypothesis of return volatility to investigate the relation between firm-specific news and volatility. We propose a novel dynamic econometric specification and test it using time series regressions employing a machine learning model selection procedure. Our empirical results are based on a comprehensive dataset comprised of more than 3 million news items for a sample of 28 large U.S. companies. Our proposed econometric specification for firm-specific return volatility is a simple mixture model with two components: public information and private processing of public information. The public information processing component is defined by the contemporaneous relation with public information and volatility, while the private processing of public information component is specified as a general autoregressive process corresponding to the sequential price discovery mechanism of investors as additional information, previously not publicly available, is generated and incorporated into prices. Our results show that changes in return volatility are related to public information arrival and that including indicators of public information arrival explains on average 26% (9–65%) of changes in firm-specific return volatility.

Idiosyncratic Return Volatility, Earnings Quality and CEO Equity-Based Compensation

2008 ◽  
Author(s):  
Pervaiz Alam ◽  
Min Liu
Keyword(s):  
Earnings Quality ◽  
Return Volatility
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