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 Online-Ressource | |
| Verfasst von: | Conrad, Christian [VerfasserIn]  |
| Schölkopf, Julius [VerfasserIn] | |
| Tushteva, Nikoleta [VerfasserIn] | |
| Titel: | Long-term volatility shapes the stock market’s sensitivity to news |
| Verf.angabe: | Christian Conrad, Julius Theodor Schoelkopf and Nikoleta Tushteva |
| Verlagsort: | Heidelberg |
| Verlag: | Universitätsbibliothek Heidelberg |
| E-Jahr: | 2023 |
| Jahr: | 05 Dez. 2023 |
| Umfang: | 1 Online-Ressource (51 Seiten) |
| Illustrationen: | Diagramme |
| Gesamttitel/Reihe: | AWI discussion paper series ; no. 739 (November 2023) |
| Abstract: | We show that the S&P 500’s instantaneous response to surprises in U.S. macroeconomic announcements depends on the level of long-term stock market volatility. When long-term volatility is high, stock returns are more sensitive to news, and there is a pronounced asymmetry in the response to good and bad news. We explain this by combining the Campbell-Shiller log-linear present value framework with a two-component volatility model for the conditional variance of cash flow news and allowing for volatility feedback. In our model, innovations to the long-term volatility component are the most important driver of discount rate news. Large announcement surprises lead to upward revisions in future required returns, which dampens/amplifies the effect of good/bad news. |
| DOI: | doi:10.11588/heidok.00034102 |
| URL: | kostenfrei: Resolving-System: https://nbn-resolving.de/urn:nbn:de:bsz:16-heidok-341022 |
| kostenfrei: Resolving-System: https://doi.org/10.11588/heidok.00034102 | |
| kostenfrei: Volltext: http://www.ub.uni-heidelberg.de/archiv/34102 | |
| kostenfrei: Verlag: https://archiv.ub.uni-heidelberg.de/volltextserver/34102/7/Conrad_Schoelkopf_Tushteva_dp739_2023.pdf | |
| kostenfrei: Resolving-System: https://nbn-resolving.org/urn:nbn:de:bsz:16-heidok-341022 | |
| kostenfrei: Langzeitarchivierung Nationalbibliothek: https://d-nb.info/1312277459/34 | |
| kostenfrei: Resolving-System: https://hdl.handle.net/10419/283465 | |
| DOI: https://doi.org/10.11588/heidok.00034102 | |
| 10419/283465 | |
| URN: | urn:nbn:de:bsz:16-heidok-341022 |
| Datenträger: | Online-Ressource |
| Sprache: | eng |
| Sach-SW: | event study |
| long- and short-term volatility | |
| macroeconomic announcements | |
| stock market response | |
| time-varying risk premia | |
| volatility feedback effect | |
| Form-SW: | Graue Literatur |
| K10plus-PPN: | 1872239560 |
| Verknüpfungen: | → Übergeordnete Aufnahme |
| Lokale URL UB: |  Zum Volltext |
