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Multifrequency News and Stock Returns ∗
| Content Provider | Semantic Scholar |
|---|---|
| Copyright Year | 2006 |
| Abstract | Aggregate stock prices are driven by shocks with persistence levels ranging from daily intervals to several decades. To accommodate this, we introduce a parsimonious equilibrium with regime-shifts of heterogeneous durations in dividend news, and estimate specifications with up to 256 states on daily U.S. equity returns. The multifrequency equilibrium has significantly higher likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 10 to 40 times larger. Furthermore, Bayesian learning about volatility generates a novel tradeoff between skewness and kurtosis as information quality varies, which complements the traditional uncertainty channel (e.g., Veronesi, 1999). Economies with intermediate investor information best match the return data. ∗Calvet: Department of Finance and Economics, HEC School of Management, 78351 Jouy-en-Josas Cedex, France, and NBER, calvet@hec.fr. Fisher: Sauder School of Business, University of British Columbia, 2053 Main Mall, Vancouver, BC Canada V6T 1Z2, adlai.fisher@sauder.ubc.ca. We received helpful comments from Andrew Abel, Michael Brandt, John Campbell, John Geanakoplos, Bruno Solnik, Robert Stambaugh, Amir Yaron, Jessica Wachter, and seminar participants at CREST, Paris I Panthéon-Sorbonne, the Swedish Central Bank, the Wharton School, the UBC Summer Finance Conference, and the 2005 World Congress of the Econometric Society. We are very appreciative of financial support provided for this project by the Agence Nationale de la Recherche, the HEC Foundation, the UBC Bureau of Asset Management, and the Social Sciences and Humanities Research Council of Canada. Multifrequency News and Stock Returns |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.finance.commerce.ubc.ca/~fisher/papers/CalvetFisherMFNews20060618.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Aggregate data Aggregate function Appendix CRC-based framing Cobham's thesis Columbia (supercomputer) Complement System Proteins Ephrin Type-B Receptor 1, human Feedback Genetic Heterogeneity Hypericum perforatum Information quality Kind of quantity - Equilibrium Large Learning Disorders Linear algebra Markov chain Movement Network switch Normal Statistical Distribution Occam's razor Offset binary PC Bruno Persistence (computer science) Population Parameter Preparation Recursion Risk aversion STRN4 gene Sample Variance Science Shell Shock Shock Smoothed analysis Smoothing (statistical technique) Social Sciences Specification Switch Device Component Tail Tails The Matrix Volatility benefit |
| Content Type | Text |
| Resource Type | Notice |
