Idiosyncratic risk does not matter: a re-examination of the relationship between average returns and average volatilities

Article Abstract:

A study re-examining the Goyal and Santa-Clara study on average stock returns relationship with pre-determined average return volatility measures is presented. The findings of Goyal and Santa-Clara that idiosyncratic risk matters in asset pricing are found to be relevant only in respect of the data in the 1990s.

Science & research, Commodity & service prices, Hong Kong, Asset & Risk Management, Asset Accounting, Venture Analysis, Research, Risk assessment, Securities trading, Company pricing policy

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Price volatility, welfare, and trading hours in asset markets

Article Abstract:

Issues concerning asset markets are discussed with emphasis on the effect of increasing trading hours. Changes to prices and the impact on social welfare is examined and the results are described.

United States, Brief Article, Stock-exchange, Stock exchanges

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A note on nonstationarity, structural breaks, and the Fisher effect

Article Abstract:

Inflation, nominal and real interest rates in the US are found to be trend-stationary with a structural break in mean and drift rate of deterministic trends.

Usage, Fisher exact test

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