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| Author: | Calvet, L.E. Fisher, A.J. |
| Title: | Multifrequency news and stock returns |
| Journal: | Journal of Financial Economics
2007 : OCT, VOL. 86:1, p. 178-212 |
| Index terms: | stock returns equities volatility learning models USA |
| Language: | eng |
| Abstract: | This study presents an equilibrium model with regime shifts of heterogeneous durations in fundamentals, estimating specifications with up to 256 states on daily aggregate returns. The multifrequency equilibrium has higher likelihood than the Campbell and Hentschel (publ. in Journal of Financial Economics (1992), vol. 31, pp. 281-318) specification while producing volatility feedback from 10 to 40 times larger. In addition, Bayesian learning about volatility generates a novel trade-off btw. skewness and kurtosis as information quality varies, complementing the uncertainty channel. Economies with intermediate information are best matched with daily returns. |
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