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http://hdl.handle.net/10419/39048
  

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dc.contributor.authorGropp, Reinten_US
dc.contributor.authorKadareja, Arjanen_US
dc.date.accessioned2009-09-23en_US
dc.date.accessioned2010-08-19T12:32:27Z-
dc.date.available2010-08-19T12:32:27Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/39048-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherUniv., Fachbereich Wirtschaftswiss. Frankfurt am Mainen_US
dc.relation.ispartofseriesWorking paper series // Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften Finance & accounting 173en_US
dc.subject.jelG21en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordRealised volatilityen_US
dc.subject.keywordpublic informationen_US
dc.subject.keywordtransparencyen_US
dc.titleStale information, shocks and volatilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn609315781en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Working Paper Series: Finance and Accounting, Universität Frankfurt a. M.

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