Is Sudden News an Origin of More Systematic Risk in Common Stocks?
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Farooq Malik & Bradley Ewing & James Payne, 2005.
"Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns,"
Canadian Journal of Economics, Canadian Economics Association, vol. 38(3), pages 1037-1056, August.
- Farooq Malik & Bradley T. Ewing & James E. Payne, 2005. "Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 38(3), pages 1037-1056, August.
- Robert J. Shiller, 1984.
"Stock Prices and Social Dynamics,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
- Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers 719R, Cowles Foundation for Research in Economics, Yale University.
- De Bandt, Olivier & Hartmann, Philipp, 2000.
"Systemic risk: A survey,"
Working Paper Series
35, European Central Bank.
- de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers.
- Bohm, Peter & Sonnegard, Joakim, 1999. " Political Stock Markets and Unreliable Polls," Scandinavian Journal of Economics, Wiley Blackwell, vol. 101(2), pages 205-222, June.
- Peter Bohm & Joakim Sonnegard, 1999. "Political Stock Markets and Unreliable Polls," Scandinavian Journal of Economics, Wiley Blackwell, vol. 101(2), pages 205-222, June.
- White, Eugene N, 1990. "The Stock Market Boom and Crash of 1929 Revisited," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 67-83, Spring.
- Mankiw, N Gregory & Shapiro, Matthew D, 1986.
"Risk and Return: Consumption Beta versus Market Beta,"
The Review of Economics and Statistics, MIT Press, vol. 68(3), pages 452-459, August.
- Matthew D. Shapiro & N. Gregory Mankiw, 1985. "Risk and Return: Consumption Beta Versus Market Beta," Cowles Foundation Discussion Papers 738, Cowles Foundation for Research in Economics, Yale University.
- Rajesh K. Aggarwal & Guojun Wu, 2006. "Stock Market Manipulations," The Journal of Business, University of Chicago Press, vol. 79(4), pages 1915-1954, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Mikuláš Gangur & Miroslav Plevný, 2014. "Tools for Consumer Rights Protection in the Prediction of Electronic Virtual Market and Technological Changes," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 16(36), pages 578-578, May.
- Dai, Min & Jia, Yanwei & Kou, Steven, 2021. "The wisdom of the crowd and prediction markets," Journal of Econometrics, Elsevier, vol. 222(1), pages 561-578.
- Martin Lettau & Sydney Ludvigson, 2001.
"Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying,"
Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
- George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, August.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- Berlemann, Michael & Schmidt, Carsten, 2001.
"Predictive accuracy of political stock markets: Empirical evidence from an European perspective,"
Dresden Discussion Paper Series in Economics
05/01, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
- Berlemann, Michael & Schmidt, Carsten, 2001. "Predictive accuracy of political stock markets: Empirical evidence from a European perspective," SFB 373 Discussion Papers 2001,57, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Demissew Diro Ejara & Raja Nag & Kamal P. Upadhyaya, 2012. "Opinion polls and the stock market: evidence from the 2008 US presidential election," Applied Financial Economics, Taylor & Francis Journals, vol. 22(6), pages 437-443, March.
- George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
- Jan Hansen & Carsten Schmidt & Martin Strobel, 2004.
"Manipulation in political stock markets - preconditions and evidence,"
Applied Economics Letters, Taylor & Francis Journals, vol. 11(7), pages 459-463.
- Hansen, Jan & Schmidt, Carsten & Strobel, Martin, 2001. "Manipulation in political stock markets: Preconditions and evidence," SFB 373 Discussion Papers 2001,61, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Jan Hansen & Carsten Schmidt & Martin Strobel, 2004. "Manipulation in political stock markets - preconditions and evidence," Natural Field Experiments 00265, The Field Experiments Website.
- Ricardo Sousa, 2011. "Building proxies that capture time-variation in expected returns using a VAR approach," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 147-163.
- Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
- Julliard, Christian, 2007. "Labor income risk and asset returns," LSE Research Online Documents on Economics 4811, London School of Economics and Political Science, LSE Library.
- Robert Kast & Stéphane Luchini, 2002. "Calcul économique et incertitude socio-politique : une procédure d’évaluation des projets publics," Économie et Prévision, Programme National Persée, vol. 156(5), pages 73-84.
- Forsell, Eskil & Viganola, Domenico & Pfeiffer, Thomas & Almenberg, Johan & Wilson, Brad & Chen, Yiling & Nosek, Brian A. & Johannesson, Magnus & Dreber, Anna, 2019. "Predicting replication outcomes in the Many Labs 2 study," Journal of Economic Psychology, Elsevier, vol. 75(PA).
- Ethan B Kapstein, 2006. "Architects of stability? International cooperation among financial supervisors," BIS Working Papers 199, Bank for International Settlements.
- Claeys, Peter & Vašíček, Bořek, 2014.
"Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe,"
Journal of Banking & Finance, Elsevier, vol. 46(C), pages 151-165.
- Claeys, Peter & Vašíček, Bořek, 2014. "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Working Paper Series 1666, European Central Bank.
- Sriya Anbil & Mark A. Carlson & Christopher Hanes & David C. Wheelock, 2020.
"A New Daily Federal Funds Rate Series and History of the Federal Funds Market, 1928-1954,"
Finance and Economics Discussion Series
2020-059, Board of Governors of the Federal Reserve System (U.S.).
- Sriya Anbil & Mark A. Carlson & Christopher Hanes & David C. Wheelock, 2020. "A New Daily Federal Funds Rate Series and History of the Federal Funds Market, 1928-1954," Working Papers 2020-016, Federal Reserve Bank of St. Louis, revised 13 Jul 2020.
- Amrei Lahno & Marta Serra-Garcia, 2015. "Peer effects in risk taking: Envy or conformity?," Journal of Risk and Uncertainty, Springer, vol. 50(1), pages 73-95, February.
- Juann H. Hung, 1995. "Intervention strategies and exchange rate volatility: a noise trading perspective," Research Paper 9515, Federal Reserve Bank of New York.
- Armstrong, Christopher & Nicoletti, Allison & Zhou, Frank S., 2022. "Executive stock options and systemic risk," Journal of Financial Economics, Elsevier, vol. 146(1), pages 256-276.
More about this item
Keywords
Equity market; Systematic Risk; Beta; Sudden news.;All these keywords.
JEL classification:
- A1 - General Economics and Teaching - - General Economics
- A10 - General Economics and Teaching - - General Economics - - - General
Statistics
Access and download statisticsCorrections
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:pra:mprapa:45139. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc 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 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: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.