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Stock (geology)

About: Stock (geology) is a research topic. Over the lifetime, 31009 publications have been published within this topic receiving 783542 citations.


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Journal ArticleDOI
TL;DR: In this paper, it has been shown that individual firms' stock return volatility rises after stock prices fall, and that this statistical relation is largely due to a positive contemporaneous relation between firm stock returns and stock price volatility.

391 citations

Journal ArticleDOI
TL;DR: In this paper, the largest 200 prehensive cap-weighted portfolios occupy positions defined-benefit pension plans had indexed a combined total of approximately $200 billion to capitalization weighted stock portfolios, such as the Wilshire 5000.
Abstract: 35 A s of the end of 1990, the largest 200 prehensive cap-weighted portfolios occupy positions defined-benefit pension plans had indexed a combined total of approximately $200 billion to capitalization-weighted stock portfolios, such as the Wilshire 5000. The sponsors of these plans presumably return. E: believe this to be an efficient investment, in the inside the efficient set. In this context, theory directs us to manage risk in seeking out investment portfolios with the lowest possible volatility given expected 6 8 5

390 citations

Journal ArticleDOI
01 Jan 2012
TL;DR: The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution as mentioned in this paper.
Abstract: The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents several empirical difficulties for the model, as calibrated by Bansal and Yaron (BY, 2004) and Bansal et al. (BKY, 2011). U.S. data do not show as much univariate persistence in consumption or dividend growth as implied by the model. BY’s calibration counterfactually implies that long-run consumption and dividend growth should be highly predictable from stock prices. BKY’s calibration does better in this respect by greatly increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for future stock return volatility than is found in the data. The long-run risks model, particularly as calibrated by BKY, implies extremely low yields and negative term premia on inflation-indexed bonds. Finally, neither calibration can explain why movements in real interest rates do not generate strong predictable movements in consumption growth.

390 citations

Journal ArticleDOI
TL;DR: In this article, the stochastic econometric cost frontier approach is modified to investigate efficiency in mutual and stock S&Ls using 1991 data on U.S. S & Ls.
Abstract: The stochastic econometric cost frontier approach is modified to investigate efficiency in mutual and stock S & Ls using 1991 data on U.S. S & Ls. This methodology allows both the cost frontier and error structures to differ between S & Ls of these two ownership forms. A likelihood ratio test indicates that the data support this unrestricted model, which implies efficient mutual and stock S & Ls use different production technologies. Various measures of inefficiency show that on average stock S & Ls are less efficient than mutual S & Ls. The second part of the article relates the inefficiency measures to several correlates.

389 citations

Journal ArticleDOI
TL;DR: The authors studied the predictive ability of implicit standard deviations, taking into account the dividend problem and the problem of optimal weighting schemes of the standard deviations when there are several options on the same stock.
Abstract: Standard deviations implied in option prices have recently been introduced as being better than average predictors of future stock price variability. This article specifically studies the predictive ability of implicit standard deviations, taking into account the dividend problem and the problem of optimal weighting schemes of the standard deviations when there are several options on the same stock. Transaction data information was used to study the importance of non-simultaneities in observing stock and option prices.

389 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
202237
20211,825
20201,882
20191,697
20181,539
20171,706