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11,967
Using Daily Stock Returns: The Case of Event Studies
- Journal of Financial Economics
, 1985
"... This paper examines properties of daily stock returns and how the particular characteristics of these data affect event study methodologies. Daily data generally present few difficulties for event studies. Standard procedures are typically well-specified even when special daily data characteris-tics ..."
Abstract
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Cited by 805 (3 self)
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This paper examines properties of daily stock returns and how the particular characteristics of these data affect event study methodologies. Daily data generally present few difficulties for event studies. Standard procedures are typically well-specified even when special daily data characteris
Daily Stock Returns, Non-Normality and Hypothesis Testing
"... Daily stock returns typically have non-normal and asymmetric distributions, potentially leading to problems with hypothesis testing based on reported probability statistics from regression analysis (Fama 1976; Brooks 2002). While daily stock return data for many years is readily available, recent st ..."
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Daily stock returns typically have non-normal and asymmetric distributions, potentially leading to problems with hypothesis testing based on reported probability statistics from regression analysis (Fama 1976; Brooks 2002). While daily stock return data for many years is readily available, recent
A Test of the GARCH(1,1) Specification for Daily Stock Returns
, 2009
"... Daily financial returns (and daily stock returns, in particular) are commonly modeled as GARCH(1,1) processes. Here we test this specification using new model evaluation technology developed in Ashley and Patterson (2006), which examines the ability of the estimated model to reproduce features of pa ..."
Abstract
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Cited by 3 (0 self)
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Daily financial returns (and daily stock returns, in particular) are commonly modeled as GARCH(1,1) processes. Here we test this specification using new model evaluation technology developed in Ashley and Patterson (2006), which examines the ability of the estimated model to reproduce features
Econometrics Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns
, 2001
"... In this paper we examine under what circumstances the information accumulated during market closing time and conveyed to the price formation at market opening may be exploited to predict where the stock price will be at the end of the trading day. In our sample of three financial time series, we fin ..."
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find that, in spite of linear uncorrelatedness, there exists a strong nonlinear dependence structure in the conditional mean of the intra-daily returns. To model this structure we use the functional-coefficient (FC) model of Cai, Fan, and Yao (2000) where the coefficients are time-varying and dependent
2 On the Relationship between Interest Rates and Volatility Regimes in Daily Stock Returns
, 2003
"... The relationship between stock market volatility and the economy is a recurring theme in empirical finance research. Understanding the nature of this relationship is important to efforts in developing richer classes of asset pricing models. These models may also provide more accurate volatility fore ..."
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The relationship between stock market volatility and the economy is a recurring theme in empirical finance research. Understanding the nature of this relationship is important to efforts in developing richer classes of asset pricing models. These models may also provide more accurate volatility
MODELING ISTANBUL STOCK EXCHANGE-100 DAILY STOCK RETURNS: A NONPARAMETRIC GARCH APPROACH
"... ARMA, stock returns, ISE 100. Autoregressive conditional heteroscedasticity (ARCH) and Generalized ARCH (GARCH) models with various alternatives have been widely analyzed in the finance literature in order to model the volatility of the returns. In all of these models, the hidden variable volatility ..."
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) is followed to model the volatility of daily stock returns of the Istanbul Stock Exchange 100 (ISE 100) market from January 1991 to November 2012. 1.
The Impact of Microstructure Noise on the Distributional Properties of Daily Stock Returns Standardized by Realized Volatility
"... Previous studies find that daily stock returns standardized by realized volatility are approximately standard normal. This evidence suggests that jumps are not an empirically relevant feature of stock prices, which is inconsistent with a growing body of research that directly tests for and finds evi ..."
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Previous studies find that daily stock returns standardized by realized volatility are approximately standard normal. This evidence suggests that jumps are not an empirically relevant feature of stock prices, which is inconsistent with a growing body of research that directly tests for and finds
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
, 2006
"... ..."
© Kabir and Ben-ZionTHE DYNAMICS OF DAILY STOCK RETURN BEHAVIOUR DURING FINANCIAL CRISIS
"... Stock market co-movements, specially those of smaller economies, become stronger during financial crises. We demonstrate this by analysing firm-specific data from the Dutch stock market during the period of October 1987 stock market crash. We observe that overnight and intraday stock returns of Dutc ..."
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Stock market co-movements, specially those of smaller economies, become stronger during financial crises. We demonstrate this by analysing firm-specific data from the Dutch stock market during the period of October 1987 stock market crash. We observe that overnight and intraday stock returns
Results 1 - 10
of
11,967
