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Three Essays on the Volatility of Finnish Stock Returns (summary section only)

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Use this URL to link or cite this item: http://hdl.handle.net/10227/102
Title: Three Essays on the Volatility of Finnish Stock Returns (summary section only)
Author: Maukonen, Marko S
Contributor: Swedish School of Economics and Business Administration, Department of Finance and Statistics, Finance
Thesis level: Doctoral thesis
Belongs to series: Economics and Society - 130
ISBN: 951-555-840-9
Abstract: First, in Essay 1, we test whether it is possible to forecast Finnish Options Index return volatility by examining the out-of-sample predictive ability of several common volatility models with alternative well-known methods; and find additional evidence for the predictability of volatility and for the superiority of the more complicated models over the simpler ones.

Secondly, in Essay 2, the aggregated volatility of stocks listed on the Helsinki Stock Exchange is decomposed into a market, industry-and firm-level component, and it is found that firm-level (i.e., idiosyncratic) volatility has increased in time, is more substantial than the two former, predicts GDP growth, moves countercyclically and as well as the other components is persistent.

Thirdly, in Essay 3, we are among the first in the literature to seek for firm-specific determinants of idiosyncratic volatility in a multivariate setting, and find for the cross-section of stocks listed on the Helsinki Stock Exchange that industrial focus, trading volume, and block ownership, are positively associated with idiosyncratic volatility estimates––obtained from both the CAPM and the Fama and French three-factor model with local and international benchmark portfolios––whereas a negative relation holds between firm age as well as size and idiosyncratic volatility.
URI: http://hdl.handle.net/10227/102
URN:ISBN:951-555-840-9
Date: 2004-08-17
Copyright information: This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited.
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