Was there ever a shift: Empirical analysis of structural-shift tests for return volatility

2021 ◽  
Vol 61 ◽  
pp. 110-139
Author(s):  
A. Kostyrka ◽  
◽  
D. Malakhov ◽  
Keyword(s):  
Empirical Analysis ◽  
Return Volatility ◽  
Structural Shift

Communicating Private Information to the Equity Market Before a Dividend Cut: An Empirical Analysis

2014 ◽  
Vol 49 (5-6) ◽  
pp. 1167-1199 ◽  
Author(s):  
Thomas J. Chemmanur ◽  
Xuan Tian
Keyword(s):  
Empirical Analysis ◽  
Private Information ◽  
Stock Return ◽  
Equity Market ◽  
Return Volatility ◽  
Reduction Theory ◽  
Data Set ◽  
Stock Return Volatility ◽  
Empirical Results ◽  
Alternative Theories

AbstractThis paper presents the first empirical analysis of the choice of firms regarding whether to release private information (“prepare the market”) in advance of a possible dividend cut and the consequences of such market preparation. We use a hand-collected data set of dividend cutting firms, which allows us to distinguish between prepared and nonprepared dividend cutters and to test the implications of two alternative theories: the “signaling through market preparation” theory and the “stock return volatility reduction” theory. We document several important differences between prepared and nonprepared dividend cutters. Overall, our empirical results are consistent with the signaling theory.

An empirical analysis of the effects of options and futures listing on the underlying stock return volatility: the Portuguese case

2005 ◽  
Vol 15 (13) ◽  
pp. 907-913 ◽  
Author(s):  
João Paulo Tomé Calado ◽  
Maria Teresa Medeiros Garcia * ◽  
Sérgio Emanuel Tomé Mendes Pereira
Keyword(s):  
Empirical Analysis ◽  
Stock Return ◽  
Return Volatility ◽  
Stock Return Volatility

An Empirical Analysis of the Obtrusiveness of and Participants' Compliance with the Electronically Activated Recorder (EAR)

2007 ◽  
Vol 23 (4) ◽  
pp. 248-257 ◽  
Author(s):  
Matthias R. Mehl ◽  
Shannon E. Holleran
Keyword(s):  
Empirical Analysis ◽  
Sampling Method ◽  
Daily Life ◽  
Assessment Method ◽  
Data Confidentiality ◽  
Short Term ◽  
Naturally Occurring ◽  
Two Samples ◽  
Audio Recorder ◽  
Term Monitoring

Abstract. In this article, the authors provide an empirical analysis of the obtrusiveness of and participants' compliance with a relatively new psychological ambulatory assessment method, called the electronically activated recorder or EAR. The EAR is a modified portable audio-recorder that periodically records snippets of ambient sounds from participants' daily environments. In tracking moment-to-moment ambient sounds, the EAR yields an acoustic log of a person's day as it unfolds. As a naturalistic observation sampling method, it provides an observer's account of daily life and is optimized for the assessment of audible aspects of participants' naturally-occurring social behaviors and interactions. Measures of self-reported and behaviorally-assessed EAR obtrusiveness and compliance were analyzed in two samples. After an initial 2-h period of relative obtrusiveness, participants habituated to wearing the EAR and perceived it as fairly unobtrusive both in a short-term (2 days, N = 96) and a longer-term (10-11 days, N = 11) monitoring. Compliance with the method was high both during the short-term and longer-term monitoring. Somewhat reduced compliance was identified over the weekend; this effect appears to be specific to student populations. Important privacy and data confidentiality considerations around the EAR method are discussed.

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