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Mésalignements et volatilité

  • Christophe Boucher
  • Armand Derhy
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    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.

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    Article provided by Dalloz in its journal Revue d'économie politique.

    Volume (Year): 121 (2011)
    Issue (Month): 6 ()
    Pages: 839-869

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    Handle: RePEc:cai:repdal:redp_216_0839
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