ADRs, Analysts, and Accuracy: Does Cross Listing in the United States Improve a Firm's Information Environment and Increase Market Value?

Trending time-varying coefficient time series models with serially correlated errors

This paper examines the volatility of common stocks of the Athens Stock Exchange at the market, industry and firm level. Over the period from 1988 to 2009 there has been a considerable increase in firm-level volatility relative to the market volatility, which implies that it takes increasingly more stocks to diversify away idiosyncratic risk. All volatility series move together and they are trended upwards. All three volatility measures show a countercyclical behaviour relative to GDP growth, and they all help to forecast GDP. Correlations among individual stocks have increased over the sample period, yet the explanatory power of the market model for a typical stock is still relatively low. All three volatility series rise during times of low returns. Factors that may be responsible for these findings are suggested.

Have individual stocks become more volatile : an empirical exploration of idiosyncratic risk

How Big Is the Premium for Currency Risk

Why Are Foreign Firms Listed in the U.S. Worth More

In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated total volatility. We document a negative relation to the degree of financial liberalization after controlling for size, liquidity, country, and crisis effects, especially for small and medium-sized markets. Moreover, the degree of financial liberalization transmits its negative impact on aggregated total volatility through aggregated idiosyncratic and local volatilities. Overall, our results provide evidence in favor of the view that the broadening of the investor base due to the increasing degree of financial liberalization causes a reduction in the total volatility of stock returns.

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The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets

University of Pittsburgh, Department of Economics, caner@pitt.eduStudies in Nonlinear Dynamics & Econometrics is produced by The Berkeley ElectronicPress (bepress). http://www.bepress.com/sndeCopyright c 2003 by the authors.All rights reserved. No part of this publication may be reproduced, stored in a retrievalsystem, or transmitted, in any form or by any means, electronic, mechanical, photocopying,recording, or otherwise, without the prior written permission of the publisher, bepress.

/pdf/time-varying-betas-help-in-asset-pricing-the-threshold-capm-1jsli9o5aw.pdf

Time-Varying Betas Help in Asset Pricing: The Threshold CAPM

This paper explores and compares the empirical distribution of the US dollar–deutsche mark exchange rate returns with well-known continuous-times processes at different frequencies. We use a variety of parametric models to simulate the unconditional density of the exchange rate returns at different frequencies, and show that the studied models do not fit the empirical distribution of exchange rate returns at both the high and low frequencies.

/pdf/exploring-exchange-rate-returns-at-different-time-horizons-3iuyxq19oy.pdf

Exploring exchange rate returns at different time horizons

This paper proposes a constrained nonlinear programming view of generalized autoregressive conditional heteroskedasticity (GARCH) volatility estimation models in financial econometrics. These models are usually presented to the reader as unconstrained optimization models with recursive terms in the literature, whereas they actually fall into the domain of nonconvex nonlinear programming. Our results demonstrate that constrained nonlinear programming is a worthwhile exercise for GARCH models, especially for the bivariate and trivariate cases, as they offer a significant improvement in the quality of the solution of the optimization problem over the diagonal VECH and the BEKK representations of the multivariate GARCH model.

/pdf/constrained-nonlinear-programming-for-volatility-estimation-2vczq04dn8.pdf

Aslihan Altay-Salih

Papers

The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets

Time-Varying Betas Help in Asset Pricing: The Threshold CAPM

Exploring exchange rate returns at different time horizons

Constrained Nonlinear Programming for Volatility Estimation with GARCH Models

A cross-section of expected stock returns on the Istanbul stock exchange