|
EconStor >
Goethe-Universität Frankfurt am Main >
Fachbereich Wirtschaftswissenschaften, Universität Frankfurt a. M. >
Working Paper Series: Finance and Accounting, Universität Frankfurt a. M. >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/39048
|
| | |
| Title: | | Stale information, shocks and volatility  |
| Authors: | | Gropp, Reint Kadareja, Arjan |
| Issue Date: | | 2007 |
| Series/Report no.: | | Working paper series // Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften Finance & accounting 173 |
| Abstract: | | We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the quality of available public information about the banks. We hypothesise that, as the publicly available information becomes stale, volatility effects and its persistence should increase, as the private information (beliefs) of investors becomes more important. We find strong support for this idea in the data. We argue that the results have implications for debate surrounding the opacity of banks and the transparency requirements that may be imposed on banks under Pillar III of the New Basel Accord. |
| Subjects: | | Realised volatility public information transparency |
| JEL: | | G21 G14 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Paper Series: Finance and Accounting, Universität Frankfurt a. M.
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/39048
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|