Home About us Contact
|
Home About us Contact | ||
|
|
||
Market Volatility (market + volatility)
Selected AbstractsMarket Volatility and the Structure of US EarningsLABOUR, Issue 1 2001Elisabetta Magnani This paper studies the relationship between volatility of industry-specific shipments and real earnings. In an efficiency wage theoretical framework I show that wage premiums for the risk of unemployment depend on the value of the worker's outside offer net of his/her mobility costs. Empirically it is shown that wage premiums for the risk of unemployment markedly vary in a cross section of workers. The main finding is that market volatility changes the return to skill such as labor market experience and education. Its impact markedly varies across occupation groups, with managers receiving returns to labour market experience that significantly increase with product market volatility. [source] Have Individual Stocks Become More Volatile?THE JOURNAL OF FINANCE, Issue 1 2001An Empirical Exploration of Idiosyncratic Risk This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly, correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, whereas the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures move together countercyclically and help to predict GDP growth. Market volatility tends to lead the other volatility series. Factors that may be responsible for these findings are suggested. [source] An Evaluation of Flexible Workday Policies in Job Shops,DECISION SCIENCES, Issue 2 2002Kum-Khiong Yang ABSTRACT Job shops have long faced pressures for improvement in a challenging and volatile environment. Today's trends of global competition and shortening of product life cycles suggest that both the challenges and the intensity of market volatility will only increase. Consequently, the study of tactics for maximizing the flexibility and responsiveness of a job shop is important. Indeed, there is a significant body of literature that has produced guidelines on when and how to deploy tactics such as alternate routings for jobs and transfers of cross-trained workers between machines. In this paper we consider a different tactic by adjusting the length of workdays. Hours in excess of a 40-hour week are exchanged for compensatory time off at time and a half, and the total amount of accrued compensatory time is limited to no more than 160 hours in accordance with pending legislation. We propose several simple flexible workday policies that are based on an input/output control approach and investigate their performance in a simulated job shop. We find significant gains in performance over a fixed schedule of eight hours per day. Our results also provide insights into the selection of policy parameters. [source] Investor Attention and Time-varying ComovementsEUROPEAN FINANCIAL MANAGEMENT, Issue 3 2007Lin Peng G14 Abstract This paper analyses the effect of an increase in market-wide uncertainty on information flow and asset price comovements. We use the daily realised volatility of the 30-year treasury bond futures to assess macroeconomic shocks that affect market-wide uncertainty. We use the ratio of a stock's idiosyncratic realised volatility with respect to the S&P500 futures relative to its total realised volatility to capture the asset price comovement with the market. We find that market volatility and the comovement of individual stocks with the market increase contemporaneously with the arrival of market-wide macroeconomic shocks, but decrease significantly in the following five trading days. This pattern supports the hypothesis that investors shift their (limited) attention to processing market-level information following an increase in market-wide uncertainty and then subsequently divert their attention back to asset-specific information. [source] The Effect of VaR Based Risk Management on Asset Prices and the Volatility SmileEUROPEAN FINANCIAL MANAGEMENT, Issue 2 2002Arjan Berkelaar Value-at-risk (VaR) has become the standard criterion for assessing risk in the financial industry. Given the widespread usage of VaR, it becomes increasingly important to study the effects of VaR based risk management on the prices of stocks and options. We solve a continuous-time asset pricing model, based on Lucas (1978) and Basak and Shapiro (2001), to investigate these effects. We find that the presence of risk managers tends to reduce market volatility, as intended. However, in some cases VaR risk management undesirably raises the probability of extreme losses. Finally, we demonstrate that option prices in an economy with VaR risk managers display a volatility smile. [source] An early warning system for detection of financial crisis using financial market volatilityEXPERT SYSTEMS, Issue 2 2006Kyong Joo Oh Abstract: This study proposes an early warning system (EWS) for detection of financial crisis with a daily financial condition indicator (DFCI) designed to monitor the financial markets and provide warning signals. The proposed EWS differs from other commonly used EWSs in two aspects: (i) it is based on dynamic daily movements of the financial markets; and (ii) it is established as a pattern classifier, which identifies predefined unstable states in terms of financial market volatility. Indeed it issues warning signals on a daily basis by judging whether the financial market has entered a predefined unstable state or not. The major strength of a DFCI is that it can issue timely warning signals while other conventional EWSs must wait for the next round input of monthly or quarterly information. Construction of a DFCI consists of two steps where machine learning algorithms are expected to play a significant role, i.e. (i) establishing sub-DFCIs on various daily financial variables by an artificial neural network, and (ii) integrating the sub-DFCIs into an integrated DFCI by a genetic algorithm. The DFCI for the Korean financial market is built as an empirical case study. [source] GLOBAL EVIDENCE ON THE EQUITY RISK PREMIUMJOURNAL OF APPLIED CORPORATE FINANCE, Issue 4 2003Elroy Dimson The size of the equity risk premium,the incremental return that shareholders require to hold risky equities rather than risk-free securities,is a key issue in corporate finance. Financial economists generally measure the equity premium over long periods of time in order to obtain reliable estimates. These estimates are widely used by investors, finance professionals, corporate executives, regulators, lawyers, and consultants. But because the 20th century proved to be a period of such remarkable growth in the U.S. economy, estimates of the risk premium that rely on past market performance may be too high to serve as a reliable guide to the future. The authors analyze a 103-year history of risk premiums in 16 countries and conclude that the U.S. risk premium relative to Treasury bills was 5.3% for that period,lower than previous studies suggest,as compared to 4.2% for the U.K. and 4.5% for a world index. But the article goes on to observe that the historical record may still overstate expectations of the future risk premium, partly because market volatility in the future may be lower than in the past, and partly because of a general decline in risk resulting from new technological advances and increased diversification opportunities for investors. After adjusting for the expected impact of these factors, the authors calculate forward-looking equity risk premiums of 4.3% for the U.S., 3.9% for the U.K., and 3.5% for the world index. At the same time, however, they caution that the risk premium can fluctuate over time and that managers should make appropriate adjustments when there are compelling economic reasons to think that expected premiums are unusually high or low. [source] A speculative bubble in commodity futures prices?AGRICULTURAL ECONOMICS, Issue 1 2010Cross-sectional evidence Commitment's of traders; Index funds; Commodity futures markets Abstract Recent accusations against speculators in general and long-only commodity index funds in particular include: increasing market volatility, distorting historical price relationships, and fueling a rapid increase and decrease in the level of commodity prices. Some researchers have argued that these market participants,through their impact on market prices,may have inadvertently prevented the efficient distribution of food aid to deserving groups. Certainly, this result,if substantiated,would counter the classical argument that speculators make prices more efficient and thus improve the economic efficiency of the food marketing system. Given the very important policy implications, it is crucial to develop a more thorough understanding of long-only index funds and their potential market impact. Here, we review the criticisms (and rebuttals) levied against (and for) commodity index funds in recent U.S. Congressional testimonies. Then, additional empirical evidence is added regarding cross-sectional market returns and the relative levels of long-only index fund participation in 12 commodity futures markets. The empirical results provide scant evidence that long-only index funds impact returns across commodity futures markets. [source] Market Volatility and the Structure of US EarningsLABOUR, Issue 1 2001Elisabetta Magnani This paper studies the relationship between volatility of industry-specific shipments and real earnings. In an efficiency wage theoretical framework I show that wage premiums for the risk of unemployment depend on the value of the worker's outside offer net of his/her mobility costs. Empirically it is shown that wage premiums for the risk of unemployment markedly vary in a cross section of workers. The main finding is that market volatility changes the return to skill such as labor market experience and education. Its impact markedly varies across occupation groups, with managers receiving returns to labour market experience that significantly increase with product market volatility. [source] Identifying the best companies for leaders: does it lead to higher returns?MANAGERIAL AND DECISION ECONOMICS, Issue 1 2010Greg Filbeck Since 2002, Chief Executive magazine, in conjunction with the Hay Group, has published a list of the Top 20 Companies for Leaders. In this paper, we examine the performance of those companies listed as being the best for leaders. We examine the announcement impact on share price associated with the press releases for firms included in the list and holding period returns between subsequent survey releases. While we generally do not find a significant difference in the performance of the Best Leader sample compared with either the market or the matched sample, we do find that the Best Leader sample outperforms other benchmarks on a raw and risk-adjusted basis during times of high market volatility. Copyright © 2009 John Wiley & Sons, Ltd. [source] Vacancies and Unemployment in AustraliaTHE AUSTRALIAN ECONOMIC REVIEW, Issue 2 2010Phillip Chindamo This article examines the extent to which the Mortensen,Pissarides model of labour market search can quantitatively match business cycle fluctuations in Australia. With productivity and job-separation-rate shocks, the model fails to produce substantial volatility among unemployment or vacancies, a result similar to,Shimer's (2005),findings for the United States. Examining a broader range of shocks significantly increases the magnitude of business cycle fluctuations, but still only explains roughly 25 per cent of labour market volatility. The implied volatility of wages in the model is similar to that in the data and hence excessive wage flexibility is unlikely to be central to the failure of the model as claimed in the literature. [source] DETERMINANTS OF FOREIGN INSTITUTIONAL INVESTMENT IN INDIA: THE ROLE OF RETURN, RISK, AND INFLATIONTHE DEVELOPING ECONOMIES, Issue 4 2004Kulwant RAI The present study examines the determinants of foreign institutional investments (FII) in India, which by January 2003 almost exceeded U.S. $12 billion. Given the huge volume of these flows and their impact on the other domestic financial markets, understanding the behavior of the flows becomes very important, especially at a time of liberalizing the capital account. By using monthly data, we found that FII inflow depends on stock market returns, inflation rates (both domestic and foreign), and ex-ante risk. In terms of magnitude, the impact of stock market returns and the ex-ante risk turned out to be the major determinants of FII inflow. Unlike some of the other investigations of this topic, our study has not found any causative link running from FII inflow to stock returns. Stabilizing stock market volatility and minimizing the ex-ante risk would help to attract more FII, an inflow of which has a positive impact on the real economy. [source] Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market RiskTHE JOURNAL OF FINANCE, Issue 6 2008TOBIAS ADRIAN ABSTRACT We explore the cross-sectional pricing of volatility risk by decomposing equity market volatility into short- and long-run components. Our finding that prices of risk are negative and significant for both volatility components implies that investors pay for insurance against increases in volatility, even if those increases have little persistence. The short-run component captures market skewness risk, which we interpret as a measure of the tightness of financial constraints. The long-run component relates to business cycle risk. Furthermore, a three-factor pricing model with the market return and the two volatility components compares favorably to benchmark models. [source] Option-Implied Risk Aversion EstimatesTHE JOURNAL OF FINANCE, Issue 1 2004Robert R. Bliss ABSTRACT Using a utility function to adjust the risk-neutral PDF embedded in cross sections of options, we obtain measures of the risk aversion implied in option prices. Using FTSE 100 and S&P 500 options, and both power and exponential-utility functions, we estimate the representative agent's relative risk aversion (RRA) at different horizons. The estimated coefficients of RRA are all reasonable. The RRA estimates are remarkably consistent across utility functions and across markets for given horizons. The degree of RRA declines broadly with the forecast horizon and is lower during periods of high market volatility. [source] Have Individual Stocks Become More Volatile?THE JOURNAL OF FINANCE, Issue 1 2001An Empirical Exploration of Idiosyncratic Risk This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly, correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, whereas the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures move together countercyclically and help to predict GDP growth. Market volatility tends to lead the other volatility series. Factors that may be responsible for these findings are suggested. [source] TESTING THE NET BUYING PRESSURE HYPOTHESIS DURING THE ASIAN FINANCIAL CRISIS: EVIDENCE FROM HANG SENG INDEX OPTIONSTHE JOURNAL OF FINANCIAL RESEARCH, Issue 1 2006Kam C. Chan Abstract We investigate net buying pressure in the Hong Kong Hang Seng Index options market during the Asian financial crisis from July 1997 to August 1998. Our findings suggest that during this period, the dramatic changes in volatility overwhelmed the dynamics of supply and demand in the options market. The extremely high realized volatility drove market participants' expectations about future market volatility in the early months of the crisis. Findings during the late-crisis, pre-crisis, and post-crisis periods are consistent with the net buying pressure hypothesis. [source] VOLATILITY FORECASTS, TRADING VOLUME, AND THE ARCH VERSUS OPTION-IMPLIED VOLATILITY TRADE-OFFTHE JOURNAL OF FINANCIAL RESEARCH, Issue 4 2005R. Glen Donaldson Abstract We investigate empirically the role of trading volume (1) in predicting the relative informativeness of volatility forecasts produced by autoregressive conditional heteroskedasticity (ARCH) models versus the volatility forecasts derived from option prices, and (2) in improving volatility forecasts produced by ARCH and option models and combinations of models. Daily and monthly data are explored. We find that if trading volume was low during period t,1 relative to the recent past, ARCH is at least as important as options for forecasting future stock market volatility. Conversely, if volume was high during period t,1 relative to the recent past, option-implied volatility is much more important than ARCH for forecasting future volatility. Considering relative trading volume as a proxy for changes in the set of information available to investors, our findings reveal an important switching role for trading volume between a volatility forecast that reflects relatively stale information (the historical ARCH estimate) and the option-implied forward-looking estimate. [source] Delivery horizon and grain market volatilityTHE JOURNAL OF FUTURES MARKETS, Issue 9 2010Berna Karali We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via a smoothed Bayesian estimator. We find that futures price volatilities in these markets are affected by inventories, time to delivery, and the crop progress period and that there are important differences in the effects across delivery horizons. We also find that price volatility is higher before the harvest starts in most cases compared to the volatility during the planting period. These results have implications for hedging, options pricing, and the setting of margin requirements. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 30:846,873, 2010 [source] The Effect of Sales Force Adoption on New Product Selling PerformanceTHE JOURNAL OF PRODUCT INNOVATION MANAGEMENT, Issue 6 2000Erik Jan Hultink Although several studies have suggested that the sales force is a major contributing factor to new product success, few studies have focused on new product adoption by the sales force, particularly with respect to its relationship with selling performance. The present article presents empirical evidence on the impact of sales force adoption on selling performance. We defined sales force adoption as the combination of the degree to which salespeople accept and internalize the goals of the new product (i.e., commitment) and the extent to which they work hard to achieve those goals (i.e., effort). It was hypothesized that the impact of sales force adoption on selling performance will be contingent on supervisory factors (sales controls, internal marketing of the new product, training, trust, and supervisor's field attention), and market volatility. Therefore, this article also provides evidence of the conditions under which sales force adoption of a new product is more or less effective in engendering successful selling performance. The hypothesized relationships were tested with data provided by 97 high technology firms from The Netherlands. The results show that sales force adoption is positively related to selling performance. This finding suggests that salespeople who simultaneously exhibit commitment and effort will achieve higher levels of new product selling performance. Outcome based control, internal marketing and market volatility are also positively related to new product selling performance. The effect of sales force adoption on selling performance is stronger where outcome based control is used and where the firm provides information on the background of the new product to salespeople through internal marketing. Training and field attention weaken the adoption-performance linkage. These findings may indicate that salespeople in The Netherlands interpret training as "micromanaging" and field attention as "looking over their shoulder." We conclude with implications of our study for research and managerial practice. [source] Out-of-sample Hedge Performances for Risk Management in China Commodity Futures Markets,ASIAN ECONOMIC JOURNAL, Issue 3 2009Sang-Kuck Chung C13; C32; G13 We consider a new time-series model that describes long memory and asymmetries simultaneously under the dynamic conditional correlation specification, and that can be used to assess an extensive evaluation of out-of-sample hedging performances using aluminum and fuel oil futures markets traded on the Shanghai Futures Exchange. Upon fitting it to the spot and futures returns of aluminum and fuel oil markets, it is found that a parsimonious version of the model captures the salient features of the data rather well. The empirical results suggest that separating the effects of positive and negative basis on the market volatility, and the correlation between two markets as well as jointly incorporating the long memory effect of the basis on market returns not only provides better descriptions of the dynamic behaviors of commodity prices, but also plays a statistically significant role in determining dynamic hedging strategies. [source] | |||||||||||||||||||||||||