東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Fundamental uncertainties and firm-l...

Yu, Yang.

FindBook

Google Book

Amazon

博客來

Fundamental uncertainties and firm-level stock volatilities.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Fundamental uncertainties and firm-level stock volatilities./
作者:	Yu, Yang.
面頁冊數:	159 p.
附註:	Source: Dissertation Abstracts International, Volume: 66-08, Section: A, page: 3038.
Contained By:	Dissertation Abstracts International66-08A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3184675
ISBN:	9780542257872

Fundamental uncertainties and firm-level stock volatilities.
Yu, Yang.

Fundamental uncertainties and firm-level stock volatilities. - 159 p.

Source: Dissertation Abstracts International, Volume: 66-08, Section: A, page: 3038.

Thesis (Ph.D.)--State University of New York at Buffalo, 2005.

Firm-level stock volatility has increased significantly since 1962 and varies widely across industries. Recent literature shows that the excessive and persistent stock volatility can be well explained by fundamental uncertainties. This paper conducted panel data analyses on 415 firms during 1988--2001 in an effort to study the extent to which variation of individual stock returns can be explained by fundamental uncertainties. Mainly, we examined the uncertainty effects of demand shifts and a firm's innovative activities as well as other firm and industry characteristic variables on firm level idiosyncratic stock volatility. The results from the panel data analyses suggest that R&D intensive firms or firms in high-tech industries have more volatile returns. Idiosyncratic volatility is higher when there is greater demand uncertainty. Data also support the prediction that idiosyncratic volatility is higher for small firms and a firm with higher volatility of profitability. In addition, we find some evidence that idiosyncratic volatility increases with variation in analysts' earnings forecasts used as a proxy for changes in expectations that are associated with uncertainty and heterogeneous belief. Trading volume, which is used as a control variable for the information arrival, is found to endogenously increase idiosyncratic volatility. Furthermore, a firm's leverage is observed to have a significant and positive effect on idiosyncratic volatility in our whole panel data sample as well as the down market sample. However, we also observed a reverse leverage effect in the upward market sample. Finally, various empirical tests suggest that the idiosyncratic volatilities are persistent.

ISBN: 9780542257872Subjects--Topical Terms:

626650
Economics, Finance.

Fundamental uncertainties and firm-level stock volatilities.
LDR:02637nmm 2200277 4500 001 1820409
005 20061113085716.5
008 130610s2005 eng d
020 $a 9780542257872
035 $a (UnM)AAI3184675
035 $a AAI3184675
040 $a UnM $c UnM
100 1 $a Yu, Yang. $3 1672361
245 1 0 $a Fundamental uncertainties and firm-level stock volatilities.
300 $a 159 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-08, Section: A, page: 3038.
500 $a Advisers: Michael Gort; Nagesh S. Revankar.
502 $a Thesis (Ph.D.)--State University of New York at Buffalo, 2005.
520 $a Firm-level stock volatility has increased significantly since 1962 and varies widely across industries. Recent literature shows that the excessive and persistent stock volatility can be well explained by fundamental uncertainties. This paper conducted panel data analyses on 415 firms during 1988--2001 in an effort to study the extent to which variation of individual stock returns can be explained by fundamental uncertainties. Mainly, we examined the uncertainty effects of demand shifts and a firm's innovative activities as well as other firm and industry characteristic variables on firm level idiosyncratic stock volatility. The results from the panel data analyses suggest that R&D intensive firms or firms in high-tech industries have more volatile returns. Idiosyncratic volatility is higher when there is greater demand uncertainty. Data also support the prediction that idiosyncratic volatility is higher for small firms and a firm with higher volatility of profitability. In addition, we find some evidence that idiosyncratic volatility increases with variation in analysts' earnings forecasts used as a proxy for changes in expectations that are associated with uncertainty and heterogeneous belief. Trading volume, which is used as a control variable for the information arrival, is found to endogenously increase idiosyncratic volatility. Furthermore, a firm's leverage is observed to have a significant and positive effect on idiosyncratic volatility in our whole panel data sample as well as the down market sample. However, we also observed a reverse leverage effect in the upward market sample. Finally, various empirical tests suggest that the idiosyncratic volatilities are persistent.
590 $a School code: 0656.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a State University of New York at Buffalo. $3 1017814
773 0 $t Dissertation Abstracts International $g 66-08A.
790 1 0 $a Gort, Michael, $e advisor
790 1 0 $a Revankar, Nagesh S., $e advisor
790 $a 0656
791 $a Ph.D.
792 $a 2005
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3184675