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Return Variance (return + variance)
Selected AbstractsDisclosures and Asset ReturnsECONOMETRICA, Issue 1 2003Hyun Song Shin Public information in financial markets often arrives through the disclosures of interested parties who have a material interest in the reactions of the market to the new information. When the strategic interaction between the sender and the receiver is formalized as a disclosure game with verifiable reports, equilibrium prices can be given a simple characterization in terms of the concatenation of binomial pricing trees. There are a number of empirical implications. The theory predicts that the return variance following a poor disclosed outcome is higher than it would have been if the disclosed outcome were good. Also, when investors are risk averse, this leads to negative serial correlation of asset returns. Other points of contact with the empirical literature are discussed. [source] CEO Stock Options and Equity Risk IncentivesJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 1-2 2006Melissa A. Williams Abstract: We test the hypothesis that the risk incentive effects of CEO stock option grants motivate managers to take on more risk than they would otherwise. Using a sample of mergers we document that the ratio of post- to pre-merger stock return variance is positively related to the risk incentive effect of CEO stock option compensation but this relationship is conditioned on firm size, with firm size having a moderating effect on the risk incentive effect of stock options. Using a broader time-series cross-sectional sample of firms we find a strong positive relationship between CEO risk incentive embedded in the stock options and subsequent equity return volatility. As in the case of the merger sample, this relationship is stronger for smaller firms. [source] WARRANT PRICING USING OBSERVABLE VARIABLESTHE JOURNAL OF FINANCIAL RESEARCH, Issue 3 2004Andrey D. Ukhov Abstract The classical warrant pricing formula requires knowledge of the firm value and of the firm-value process variance. When warrants are outstanding, the firm value itself is a function of the warrant price. Firm value and firm-value variance are then unobservable variables. I develop an algorithm for pricing warrants using stock prices, an observable variable, and stock return variance. The method also enables estimation of firm-value variance. A proof of existence of the solution is provided. [source] Stock Price Behavior over Trading and Non-trading Periods: Evidence from the Taiwan Stock ExchangeJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2000Yen-Sheng Huang This paper examines the stock price behavior in the trading and non-trading periods for stocks listed on the Taiwan Stock Exchange over 1971-96. The results indicate that the trading-time return variances are higher than the non-trading-time return variances especially for the larger trading-volume quintiles. This result is consistent with the private information hypothesis. Moreover, open-to-open return variances are higher than close-to-close return variances. Since both the opening and the closing transactions are conducted by the call auction procedure, the results are consistent with the trading halt hypothesis but not with the trading mechanism hypothesis. [source] | ||||||||||