Time-varying persistence in expected returns

Article Abstract:

With the exceptions of the great depression and the second world war, stock price volatility has been fairly constant. The time-variation in expected returns is driven by price of risk variations such that at times of high risk, news affects asset prices more that at times of low risk.

Securities & Commodities Exchanges, Norway, Prices and rates, Stocks, Securities industry, Stock prices

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Intraday futures market behaviour around major scheduled macroeconomic announcements: Australian evidence

Article Abstract:

The futures market behavior, as exemplified in a survey of the Sydney Futures Exchange trading data, showed rapid adjustment reaction to macroeconomic news.

Australia, Commodity Exchanges, Stock-exchange, Stock exchanges, Surveys, Futures market, Futures markets, Commodities industry, Sydney Futures Exchange

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Comparable firms and the precision of equity valuations

Article Abstract:

Investor's estimate of a firm's true equity value relies on information and this affects stock return volatility. This is more so when information pertains to firms in the same line of business as the firm being valued.

Other Financial Vehicles, Investors, not elsewhere classified, Investors NEC, Finance, Investments, Corporations, Investors, Valuation, Corporate finance

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