کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960531 929489 2007 35 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multifrequency news and stock returns
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Multifrequency news and stock returns
چکیده انگلیسی

Equity prices are driven by shocks with persistence levels ranging from intraday horizons to several decades. To accommodate this diversity, we introduce a parsimonious equilibrium model with regime shifts of heterogeneous durations in fundamentals, and estimate specifications with up to 256 states on daily aggregate returns. The multifrequency equilibrium has higher likelihood than the Campbell and Hentschel [1992. No news is good news: an asymmetric model of changing volatility in stock returns. Journal of Financial Economics 31, 281–318] specification, while producing volatility feedback 10 to 40 times larger. Furthermore, Bayesian learning about volatility generates a novel trade-off between skewness and kurtosis as information quality varies, complementing the uncertainty channel [e.g., Veronesi, 1999. Stock market overreaction to bad news in good times: a rational expectations equilibrium model. Review of Financial Studies 12, 975–1007]. Economies with intermediate information best match daily returns.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 86, Issue 1, October 2007, Pages 178–212
نویسندگان
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