| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11441 |
| 来源ID | Working Paper 11441 |
| Multifrequency News and Stock Returns | |
| Laurent E. Calvet; Adlai J. Fisher | |
| 发表日期 | 2005-06-27 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Recent research documents that aggregate stock prices are driven by shocks with persistence levels ranging from daily intervals to several decades. Building on these insights, we introduce a parsimonious equilibrium model in which regime-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with up to 256 discrete states on daily U.S. equity returns. The multifrequency equilibrium has significantly higher likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 times larger. We show in an extension that Bayesian learning about stochastic volatility is faster for bad states than good states, providing a novel source of endogenous skewness that complements the "uncertainty" channel considered in previous literature (e.g., Veronesi, 1999). Furthermore, signal precision induces a tradeoff between skewness and kurtosis, and economies with intermediate investor information best match the data. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w11441 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569084 |
| 推荐引用方式 GB/T 7714 | Laurent E. Calvet,Adlai J. Fisher. Multifrequency News and Stock Returns. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11441.pdf（1445KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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