Stock Return Volatility and Economic Information in Distinct Degrees of Market Stability

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1、StockReturnVolatilityandEconomicInformationinDistinctDegreesofMarketStabilityCopyright2014TEXASA&MUNIVERSITYJinXuandDavidA.BesslerContentTitle...............................................................................................................................

2、...........................1Authors....................................................................................................................................................1Abstract.............................................................................

3、......................................................................1Background.............................................................................................................................................11.ExcessStockMarketVolatility.................

4、.....................................................................................11.1.ExcessStockMarketVolatilityandDividends.......................................................................11.2.PersistenceofStockMarketVolatility..............................

5、.......................................................21.3.ComponentsofStockMarketVolatility..................................................................................31.4.TheModelingandExplanationofStockMarketVolatility.........................................

6、..........31.5.MoreRecentFindingsonStockMarketVolatility.................................................................42.TheImpactofEconomicInformation............................................................................................42.1.InformationEconomi

7、cs.............................................................................................................42.2.AsymmetricInformationandStockMarket............................................................................42.3.LimitationsoftheAsymmetricInformation

8、Approach..........................................................53.TheInformation-Return-VolatilityTriangle........