Multifrequency news and stock returns

• 成果类型: Article
• 署名作者: Calvet, Laurent E.; Fisher, Adial J.
• 署名单位: University of British Columbia; Imperial College London; Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.09.001
• 发表日期: 2007
• 页码: 178-212
• 关键词: multifrequency news; volatility feedback; learning; LONG-RUN RISKS

摘要

Equity prices are driven by shocks with persistence levels ranging from intraday horizons to several decades. To accommodate this diversity, we introduce a parsimonious equilibrium model with regime shifts of heteroaeneous durations in fundamentals, and estimate specifications with up to 256 states on daily aggregate returns. The multifrequency equilibrium has higher likelihood than the Campbell and Hentschel [1992. No news is good news: an asymmetric model of changing volatility in stock returns. Journal of Financial Economics 31, 281-318] specification, while producing volatility feedback 10 to 40 times larger. Furthermore. Bayesian learning about volatility generates a novel trade-off between skewness and kurtosis as information quality varies, complementing the uncertainty channel [e.g., Veronesi, 1999. Stock market overreaction to bad news in good times: a rational expectations equilibrium model. Review of Financial Studies 12, 975-1007]. Economies with intermediate information best match daily returns. (C) 2007 Elsevier B.V. All rights reserved.