Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39048 
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dc.contributor.authorGropp, Reint E.en
dc.contributor.authorKadareja, Arjanen
dc.date.accessioned2009-09-23-
dc.date.accessioned2010-08-19T12:32:27Z-
dc.date.available2010-08-19T12:32:27Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aJohann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften |cFrankfurt a. M.en
dc.relation.ispartofseries|aWorking Paper Series: Finance & Accounting |x173en
dc.subject.jelG21en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordRealised volatilityen
dc.subject.keywordpublic informationen
dc.subject.keywordtransparencyen
dc.titleStale information, shocks and volatility-
dc.typeWorking Paperen
dc.identifier.ppn609315781en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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