Fluctuating confidence in stock markets: Implications for returns and volatility

Journal of Financial and Quantitative Analysis

Volumn 32, Issue 4, 1997, Pages 427-462

  David, Alexander ^a  

^a FEDERAL RESERVE BOARD   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031312301     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2331232     Document Type: Article

References (45)

1. Baumol, W. J. Economic Theory and Operations Analysis. Englewood Cliffs, NJ: Prentice-Hall International Series in Management (1977).
2. Berndt, E.; B. Hall; R. Hall; and J. Hausman. "Estimation and Inference in Nonlinear Structural Models." Annals of Economic and Social Measurement, 3 (1974), 653-655.
3. Bickel, P. J., and K. A. Doksum. Mathematical Statistics. Basic Ideas and Selected Topics. Oakland, CA: Holden-Day, Inc. (1976).
4. Black, F. "Studies of Stock Price Volatility Changes." Proceeding of the Business and Economics Statistics Section, American Statistical Association, (1976), 177-181.
5. Bollerslev, T.; R. F. Engle; and J. M. Woolridge. "A Capital Asset Pricing Model with Time Varying Covariances." Journal of Political Economy, 96 (Feb. 1988), 116-131.
6. Bollerslev, T.; R. Y. Chou; and K. F. Kroner. "ARCH Modelling in Finance. A Review of the Theory and Empirical Practice." Journal of Econometrics, 52 (April-May 1992), 5-59.
7. Campbell, J. Y, and L. Hentschel. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns." Journal of Financial Economics, 31 (June 1992), 281-318.
8. Cecchetti, S.; P. Lam; and N. Mark. "The Equity Premium and the Risk-Free Rate: Matching the Moments." Journal of Monetary Economics, 31 (Feb. 1993), 21-45.
9. Christie, A. "The Stochastic Behavior of Common Stock Variances: Value, Leverage, and Interest Rate Effects." Journal of Financial Economics, 10 (Dec. 1982), 407-432.
10. Clark, P. "A Subordinated Stochastic Process Model With Finite Variance for Speculative Prices " Econometrica, 41 (Jan. 1973), 131-155.
11. Cox, J.; J. Ingersoll; and S. Ross. "An Intertemporal General Equilibrium Model of Asset Prices." Econometrica, 53 (March 1985a), 363-384.
12. _. "A Theory of the Term Structure of Interest Rates." Econometrica, 53 (March 1985b), 385-407.
13. David, A. Business Cycle Risk and the Equity Premium. Ph.D. Diss., Dept. of Economics, Univ. of California at Los Angeles (1993).
14. David, A.; S. Oh; J. Ostroy; and K. Shin. "Cyclical Fluctuations in Uncertainty: An Application to the Premium on Equities." Mimeo, Dept. of Economics, Univ. of California at Los Angeles (1992).
15. Davis, S. J., and J. C. Haltiwanger. "Gross Job Creation, Gross Job Destruction, and Employment Reallocation." Quarterly Journal of Economics, 107 (Aug. 1992), 819-863.
16. DeGroot, M. Probability and Statistics. Reading, MA: Addison-Wesley (1985).
17. Detemple, J. B. "Asset Pricing in a Production Economy with Incomplete Information "Journal of Finance, 41 (June 1986), 383-391.
18. _. "Further Results on Asset Pricing with Incomplete Information." Journal of Economic Dynamics and Control, 15 (July 1991), 425-453.
19. Detemple, J. B., and S. Murthy. "Intertemporal Asset Pricing with Heterogeneous Beliefs" Journal of Economic Theory, 62 (April 1994), 294-320.
20. Dothan, U., and D. Feldman. "A Theory of Asset Prices and the Term Structure of Interest Rates in a Partially Observable Economy." Journal of Finance, 41 (June 1986), 369-382.
21. Engle, R. F.; D. M. Lilien; and R. P. Robbins. "Estimating Time Varying Risk Premia in the Term Structure." Econometrica, 55 (1987).
22. Gennotte, G. " Optimal Portfolio Choice under Incomplete Information." Journal of Finance 41 (July 1986), 733-749.
23. Greene, W. Econometric Analysis. Englewood Cliffs, NJ: Prentice Hall, Second Ed. (1993).
24. Haberman, R. Elementary Partial Differential Equations: With Fourier Series and Boundary Value Problems. Englewood Cliffs, NJ: Prentice Hall (1990).
25. Hakansson, N. H. "Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions." Econometrica, 38 (Sept. 1970), 587-607.
26. Hamilton, J. D. "A New Approach to the Economic Analysis of Non-Stationary Time Series and the Business Cycle." Econometrica, 57 (March 1989), 357-384.
27. Ingersoll, J. Theory of Financial Decision Making. Savage, MD: Rowman and Littlefield (1988).
28. Jazwinski, A. Stochastic Processes and Filtering Theory. New York, NY: Academic Press (1970).
29. Jones, R., and J. Ostroy. "Flexibility and Uncertainty." Review of Economic Studies, 51 (Jan. 1985), 13-32.
30. Karlin, S., and H. Taylor. A Second Course in Stochastic Processes. New York NY: Academic Press (1982).
31. Karatzas, I., and X. Xue. "A Note on Utility Maximization under Partial Observations "Mathematical Finance, 1 (April 1991), 57-70.
32. Krishnan, V. Non-Linear Filtering and Smoothing: An Introduction to Martingales, Stochastic Integrals and Estimation. New York, NY: Wiley (1982).
33. Lilien, D. M. "Sectoral Shifts and Cyclical Employment." Journal of Political Economy 90 (Aug 1982), 777-793.
34. Liptser, R., and A. Shiryayev. Statistics of Random Processes I. New York, NY: Springer-Verlag (1978).
35. Loungani, P.; M. Rush; and W. Tave. "Stock Market Dispersion and Employment." Journal of Monetary Economics, 25 (June 1990), 367-388.
36. Lucas, R. "Asset Prices in an Exchange Economy." Econometrica, 46 (Nov. 1978), 1429-1445.
37. Merton, R. "An Intertemporal Capital Asset Pricing Model." Econometrica, 41 (Sept. 1973), 867-887.
38. _. Continuous-Time Finance. Cambridge, MA: Blackwell (1990).
39. Nelson, D. "Conditional Heteroscedasticity in Asset Returns: A New Approach." Econometrica, 59 (March 1991), 347-370.
40. Ostroy, J., and S. Potter. "Pricing with Commitments." Mimeo, Dept. of Economics Univ of California at Los Angeles (1995).
41. Pagan, A., and W. Schwert. "Alternative Models for Conditional Stock Volatility." Journal of Econometrics, 45 (July-Aug. 1990), 267-290.
42. Samuelson, P. "Lifetime Portfolio Selection by Dynamic Stochastic Programming." Review of Economics and Statistics, 51, (Aug. 1969), 239-246.
43. Schwert, W. "Why Does Stock Market Volatility Change over Time." Journal of Finance, 44 (Dec. 1989), 1115-1153.
44. Stokey, N.; R. Lucas; and E. Prescott. Recursive Methods in Economic Dynamics. Cambridge MA Harvard Univ. Press (1989).
45. Turner, C.; R. Startz; and C. Nelson. "A Markov Model of Heteroscedasticity, Risk, and Learning in the Stock Market." Journal of Financial Economics, 25 (1989), 3-22.