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dc.contributor.authorGropp, Reinten_US
dc.contributor.authorKadareja, Arjanen_US
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.publisher|aUniv., Fachbereich Wirtschaftswiss. |cFrankfurt am Mainen_US
dc.relation.ispartofseries|aWorking paper series // Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften Finance & accounting |x173en_US
dc.subject.keywordRealised volatilityen_US
dc.subject.keywordpublic informationen_US
dc.titleStale information, shocks and volatilityen_US
dc.type|aWorking Paperen_US

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