Advanced Search
MyIDEAS: Login to save this article or follow this journal

Volatility of stock price as predicted by patent data: An MGARCH perspective

Contents:

Author Info

  • Chow, William W.
  • Fung, Michael K.
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6VFG-4NTB94M-2/2/1c4af92f1120dafc82501c05785c851e
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 15 (2008)
    Issue (Month): 1 (January)
    Pages: 64-79

    as in new window
    Handle: RePEc:eee:empfin:v:15:y:2008:i:1:p:64-79

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/jempfin

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Bronwyn H. Hall & Adam B. Jaffe & Manuel Trajtenberg, 2001. "The NBER Patent Citation Data File: Lessons, Insights and Methodological Tools," NBER Working Papers 8498, National Bureau of Economic Research, Inc.
    2. Eden, Benjamin & Jovanovic, Boyan, 1994. "Asymmetric Information and the Excess Volatility of Stock Prices," Economic Inquiry, Western Economic Association International, vol. 32(2), pages 228-35, April.
    3. Chauvin, Keith W. & Hirschey, Mark, 1994. "Goodwill, profitability, and the market value of the firm," Journal of Accounting and Public Policy, Elsevier, vol. 13(2), pages 159-180.
    4. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
    5. Bronwyn H. Hall., 1999. "Innovation and Market Value," Economics Working Papers E99-265, University of California at Berkeley.
    6. Stephen J. Larson & Jeff Madura, 2003. "What Drives Stock Price Behavior Following Extreme One-Day Returns," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 26(1), pages 113-127.
    7. BAUWENs, Luc & LUBRANO , Michel, 1996. "Bayesian Inference on GARCH Models using the Gibbs Sampler," CORE Discussion Papers 1996027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. Vrontos, I D & Dellaportas, P & Politis, D N, 2000. "Full Bayesian Inference for GARCH and EGARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 187-98, April.
    9. Nicholas Bloom & John Van Reenen, 2002. "Patents, Real Options and Firm Performance," Economic Journal, Royal Economic Society, vol. 112(478), pages C97-C116, March.
    10. William Schwert, G., 2002. "Stock volatility in the new millennium: how wacky is Nasdaq?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 3-26, January.
    11. Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
    12. Veronesi, Pietro, 1999. "Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 975-1007.
    13. Pietro Veronesi, . "How Does Information Quality Affect Stock Returns?," CRSP working papers 361, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    14. Pietro Veronesi, . "How Does Information Quality Affect Stock Returns?," CRSP working papers 462, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    15. Jegadeesh, Narasimhan & Titman, Sheridan, 1995. "Overreaction, Delayed Reaction, and Contrarian Profits," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 973-93.
    16. Brennan, Michael J. & Xia, Yihong, 2001. "Stock price volatility and equity premium," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 249-283, April.
    17. repec:wop:ubisop:0033 is not listed on IDEAS
    18. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 39-69.
    19. Hollifield, Burton, 2002. "Comment on: : Stock volatility in the new millennium: how wacky is Nasdaq?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 27-30, January.
    20. Pietro Veronesi, 2000. "How Does Information Quality Affect Stock Returns?," Journal of Finance, American Finance Association, vol. 55(2), pages 807-837, 04.
    21. Shane, Hilary & Klock, Mark, 1997. " The Relation between Patent Citations and Tobin's Q in the Semiconductor Industry," Review of Quantitative Finance and Accounting, Springer, vol. 9(2), pages 131-46, September.
    22. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
    23. Timmermann, Allan G, 1993. "How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices," The Quarterly Journal of Economics, MIT Press, vol. 108(4), pages 1135-45, November.
    24. Osiewalski, Jacek & Pipien, Mateusz, 2004. "Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland," Journal of Econometrics, Elsevier, vol. 123(2), pages 371-391, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:empfin:v:15:y:2008:i:1:p:64-79. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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