We characterize the joint dynamics of expected returns, stochastic volatility, and prices. In particular, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend ratio fully determines the other two. For example, the stock volatility determines the expected return and the price-dividend ratio. By parameterizing one, or more, of exp...

We use daily price indices obtained from the Morgan Stanley Capital International to construct realized volatility for 18 individual stock markets, including the US, and the world stock market. In contrast with the CAPM, we find that volatility by itself does not forecast excess returns in most countries; however, it becomes a significant predictor when combined with the US consumptionwealth ra...

Stock prices in each industry are one of the major issues in the stock market. Given the increasing number of shareholders in the stock market and their attention to the price of different stocks in transactions, the prediction of the stock price trend has become significant. Many people use the share price movement process when com-paring different stocks while investing, and also want to pred...

the aim of this study is to investigate the relationship between dividend policy with stock liquidity and information asymmetry considering the characteristics of the company as controlling variables in tehran stock exchange. for this purpose, all listed companies in tehran stock exchange as the statistical population was considered during the period 2009 to 2014, that after screening by simple...

volatility transmission means the connection between different markets in a way that volatility can be transmitted from one market to another. the volatility of oil price in global markets is one of the factors which influence the capital markets of the countries of which their economy is based on oil revenues. most of these markets have long-run memory characteristic which should be considered...

We use daily price indices obtained from the Morgan Stanley Capital International to construct realized volatility for 18 individual stock markets, including the US, and the world stock market. In contrast with the CAPM, we find that volatility by itself does not forecast excess returns in most countries; however, it becomes a significant predictor when combined with the US consumptionwealth ra...

Stock market plays a very influential role for the economy of any country. Energy sector is considered as one of the dominating sectors in the stock market. This sector is evidently affected by oil and gas prices and performance of this sector is evaluated by stock returns of the oil & gas companies. Therefore, the study of such stock returns always remains an objective of interest for many fin...