IDEAS home Printed from https://ideas.repec.org/a/cai/repdal/redp_216_0839.html
   My bibliography  Save this article

Mésalignements et volatilité

Author

Listed:
  • Christophe Boucher
  • Armand Derhy

Abstract

The paper considers forecasting regressions of US equities ?realized volatility? on two misalignment measures defined by the temporary deviations from the common trend between valuation ratios (earning-price and dividend-price) and current inflation. Results show that these misalignments are useful to predict in-sample and out-of-sample stock market volatility at monthly horizons. The analysis also reveals a threshold effect where only misalignments exceeding a certain level of overvaluation have a positive and significant impact on future volatility. These suggest that the relationship between misalignments and future volatility is due to the presence of speculative bubbles.

Suggested Citation

  • Christophe Boucher & Armand Derhy, 2011. "Mésalignements et volatilité," Revue d'économie politique, Dalloz, vol. 121(6), pages 839-869.
    • Handle: RePEc:cai:repdal:redp_216_0839
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=REDP_216_0839
    Download Restriction: free
    File URL: http://www.cairn.info/revue-d-economie-politique-2011-6-page-839.htm
    Download Restriction: free
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:repdal:redp_216_0839. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jean-Baptiste de Vathaire (email available below). General contact details of provider: https://www.cairn.info/revue-d-economie-politique.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.