Multifrequency news and stock returns

Journal of Financial Economics

Volumn 86, Issue 1, 2007, Pages 178-212

  Calvet, Laurent E ^a,b   Fisher, Adlai J ^c  

^a HEC PARIS   (France)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

^c UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Learning; Long run risks; Multifrequency news; Volatility feedback

Indexed keywords

EID: 34548538549     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2006.09.001     Document Type: Article

References (65)

1. Abel A. Stock prices under time-varying dividend risk: an exact solution in an infinite horizon general equilibrium model. Journal of Monetary Economics 22 (1988) 375-395
2. Abel A. Risk premia and term premia in general equilibrium. Journal of Monetary Economics 43 (1999) 3-33
3. Abel A. The effects of a baby boom on stock prices and capital accumulation in the presence of social security. Econometrica 71 (2003) 551-578
4. Andersen, T., Bollerslev, T., Diebold, F., 2003. Some like it smooth, and some like it rough: untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility. Working paper, University of Pennsylvania.
5. Andersen, T., Bollerslev, T., Diebold, F., Vega, C., 2004. Real-time price discovery in stock, bond and foreign exchange markets. Working paper, University of Pennsylvania.
6. Attanasio O., and Weber G. Consumption growth, the interest rate, and aggregation. Review of Economic Studies 60 (1993) 631-649
7. Bansal R., and Lundblad C. Market efficiency, fundamental values, and the size of the risk premium in global equity markets. Journal of Econometrics 109 (2002) 195-237
8. Bansal R., and Yaron A. Risks for the long run: a potential resolution of asset pricing puzzles. Journal of Finance 49 (2004) 1481-1509
9. Bansal R., and Zhou H. Term structure of interest rates with regime shifts. Journal of Finance 57 (2002) 1997-2043
10. Bansal R., Khatchatrian V., and Yaron A. Interpretable asset markets?. European Economic Review 49 (2005) 531-560
11. Barndorff-Nielsen O., and Shephard N. Realised power variation and stochastic volatility models. Bernoulli 9 (2003) 1109-1111
12. Barsky R. Why don't the prices of stocks and bonds move together?. American Economic Review 79 (1989) 1132-1145
13. Bekaert G., and Wu G. Asymmetric volatility and risk in equity markets. Review of Financial Studies 13 (2000) 1-42
14. Brennan M., and Xia Y. Stock price volatility and the equity premium. Journal of Monetary Economics 47 (2001) 249-283
15. Calvet L.E., and Fisher A.J. Forecasting multifractal volatility. Journal of Econometrics 105 (2001) 27-58
16. Calvet L.E., and Fisher A.J. Multifractality in asset returns: theory and evidence. Review of Economics and Statistics 84 (2002) 381-406
17. Calvet L.E., and Fisher A.J. How to forecast long-run volatility: regime-switching and the estimation of multifractal processes. Journal of Financial Econometrics 2 (2004) 49-83
18. Calvet, L.E., Fisher, A.J., 2005. Multifrequency news and stock returns. NBER Working Paper 11441.
19. Calvet L.E., Fisher A.J., and Thompson S.B. Volatility comovement: a multifrequency approach. Journal of Econometrics 131 (2006) 179-215
20. Campbell J.Y. Understanding risk and return. Journal of Political Economy 104 (1996) 298-345
21. Campbell J.Y. Consumption-based asset pricing. In: Constantinides G., and Harris M. (Eds). Handbook of the Economics of Finance (2003), North-Holland, Amsterdam
22. Campbell J.Y., and Cochrane J. By force of habit: a consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107 (1999) 205-251
23. Campbell J.Y., and Hentschel L. No news is good news: an asymmetric model of changing volatility in stock returns. Journal of Financial Economics 31 (1992) 281-318
24. Campbell J.Y., and Mankiw N.G. Consumption, income and interest rates: reinterpreting the time series evidence. In: Blanchard O., and Fischer S. (Eds). NBER Macroeconomics Annual (1989), MIT Press, Cambridge, MA 185-216
25. Cecchetti S., Lam P.-S., and Mark N. Mean reversion in equilibrium asset prices. American Economic Review 80 (1990) 398-418
26. David A. Fluctuating confidence in stock markets: implications for returns and volatility. Journal of Financial and Quantitative Analysis 32 (1997) 427-462
27. Engle R. Discussion: stock market volatility and the crash of '87. Review of Financial Studies 3 (1990) 103-106
28. Epstein L., and Zin S. Substitution, risk aversion and the temporal behavior of consumption and asset returns: a theoretical framework. Econometrica 57 (1989) 937-968
29. Fama E., and French K. The equity premium. Journal of Finance 57 (2002) 637-659
30. French K., Schwert G.W., and Stambaugh R.F. Expected stock returns and volatility. Journal of Financial Economics 19 (1987) 3-29
31. Gennotte G., and Leland H. Market liquidity, hedging, and crashes. American Economic Review 80 (1990) 999-1021
32. Ghysels E., Santa-Clara P., and Valkanov R. There is a risk-return trade-off after all. Journal of Financial Economics 76 (2005) 509-548
33. Guidolin M., and Timmermann A. Option prices under Bayesian learning: implied volatility dynamics and predictive densities. Journal of Economic Dynamics and Control 27 (2003) 717-769
34. Hamilton J. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57 (1989) 357-384
35. Hansen L., and Jagannathan R. Implications of security market data for models of dynamic economies. Journal of Political Economy 99 (1991) 225-262
36. Hung M.-W. The interaction between nonexpected utility and asymmetric market fundamentals. Journal of Finance 49 (1994) 325-343
37. Kandel S., and Stambaugh R.F. Expectations and volatility of consumption and asset returns. Review of Financial Studies 3 (1990) 207-232
38. Kim C.-J., Morley J., and Nelson C. Is there a positive relationship between stock market volatility and the equity premium?. Journal of Money, Credit and Banking 36 (2004) 339-360
39. LeRoy S., and Porter R. The present-value relation: tests based on implied variance bounds. Econometrica 49 (1981) 555-574
40. Lettau, M., Ludvigson, S., Wachter, J., 2004. The declining equity premium: what role does macroeconomic risk play? Working paper, New York University. Forthcoming in Review of Financial Studies.
41. Lundblad, C., 2005. The risk-return trade-off in the long-run: 1836-2003. Working paper, University of Indiana.
42. MacKinlay A.C. Event studies in economics and finance. Journal of Economic Literature 35 (1997) 13-39
43. Pagan A., and Schwert G.W. Alternative models for conditional stock volatility. Journal of Econometrics 45 (1990) 267-290
44. Pastor, L., Veronesi, P., 2005. Technological revolutions and stock prices. Working paper, University of Chicago.
45. Pindyck R. Risk, inflation, and the stock market. American Economic Review 74 (1984) 334-351
46. Poterba J., and Summers L. The persistence of volatility and stock market fluctuations. American Economic Review 75 (1985) 1142-1151
47. Roll R. Orange juice and the weather. American Economic Review 74 (1984) 861-880
48. Santa-Clara P., and Valkanov R. The presidential puzzle: political cycles and the stock market. Journal of Finance 58 (2003) 1841-1872
49. Schwert G.W. Why does stock market volatility change over time?. Journal of Finance 44 (1989) 1115-1153
50. Schwert G.W. Indexes of United States stock prices from 1802 to 1987. Journal of Business 63 (1990) 399-426
51. Schwert G.W. Stock volatility and the crash of '87. Review of Financial Studies 3 (1990) 77-102
52. Sentana E. Quadratic ARCH models. Review of Economic Studies 62 (1995) 639-661
53. Shiller R. Do stock prices move too much to be justified by subsequent changes in dividends?. American Economic Review 71 (1981) 421-436
54. Turner C., Startz R., and Nelson C. A Markov model of heteroskedasticity, risk and learning in the stock market. Journal of Financial Economics 25 (1989) 3-22
55. Veronesi P. Stock market overreaction to bad news in good times: a rational expectations equilibrium model. Review of Financial Studies 12 (1999) 975-1007
56. Veronesi P. How does information quality effect stock returns?. Journal of Finance 55 (2000) 807-837
57. Veronesi P. The peso problem hypothesis and stock market returns. Journal of Economic Dynamics and Control 28 (2004) 707-725
58. Vissing-Jørgensen A. Limited asset market participation and the elasticity of intertemporal substitution. Journal of Political Economy 110 (2002) 825-853
59. Vuong Q. Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica 57 (1989) 307-333
60. Wachter J. A consumption-based model of the term-structure of interest rates. Journal of Financial Economics 79 (2006) 365-399
61. Weil P. The equity premium puzzle and the risk-free rate puzzle. Journal of Monetary Economics 24 (1989) 401-421
62. Whitelaw R. Stock market risk and return: an equilibrium approach. Review of Financial Studies 13 (2000) 521-547
63. Womack K. Do brokerage analysts' recommendations have investment value?. Journal of Finance 51 (1996) 137-167
64. Wu G. The determinants of asymmetric volatility. Review of Financial Studies 14 (2001) 837-859
65. Yogo M. Estimating the elasticity of intertemporal substitution when instruments are weak. Review of Economics and Statistics 86 (2004) 797-810