Marketwide Private Information in Stocks: Forecasting Currency Returns
โ Scribed by RUI ALBUQUERQUE; EVA DE FRANCISCO; LUIS B. MARQUES
- Book ID
- 109176530
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 677 KB
- Volume
- 63
- Category
- Article
- ISSN
- 0022-1082
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
The S&P 500 futures price is referred to as the futures price. All prices are recorded at Eastern Standard Time. S&P's monthly "500 Information Bulletin" reports an opening price for the S&P 500 index. However, this price is the index price recorded one minute after the NYSE opens and contains many
## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and