کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958774 | 929063 | 2007 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymmetric temporary and permanent stock-price innovations
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper estimates a nonlinear, structural bivariate threshold model in order to identify independent temporary and permanent stock-price innovations in positive-return and negative-return regimes. The model finds that temporary innovations account for as much as 68% of the innovations after negative returns and less than 4% of the innovations after positive returns. This paper shows that the negative-return regime is also the high-volatility regime, a result that links the excess-volatility and asymmetric-volatility literatures. This link provides evidence that temporary stock-price innovations are due primarily to time-varying expected returns in an efficient market and not to a market inefficiency.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 14, Issue 1, January 2007, Pages 120–130
Journal: Journal of Empirical Finance - Volume 14, Issue 1, January 2007, Pages 120–130
نویسندگان
Philip A. Shively,