Correlated Beliefs, Returns, and Stock Market Volatility

Joel M. David & Ina Simonovska
Published Date
Copyright 2016
DOI 10.1016/j.jinteco.2015.11.006
CONFERENCE HELD June 26-27, 2015
Book: NBER International Seminar on Macroeconomics 2015
Book editors: Michael B. Devereux, Francesco Giavazzi & Kenneth D. West
PUBLISHER: Journal of International Economics (Elsevier), Volume 99, Supplement 1
Series: NBER International Seminar on Macroeconomics

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  • Joel M. David and Ina Simonovska, NBER International Seminar on Macroeconomics 2015 (Journal of International Economics (Elsevier), Volume 99, Supplement 1, 2016), chap. 5, https://www.nber.org/books-and-chapters/nber-international-seminar-macroeconomics-2015/correlated-beliefs-returns-and-stock-market-volatility.

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Topics

Microeconomics
Economics of Information
Financial Economics
Portfolio Selection and Asset Pricing
Financial Markets

Published From Paper

Correlated Beliefs, Returns, and Stock Market Volatility
- Working Paper
Firm-level stock returns exhibit comovement above that in fundamentals, and the gap tends to be higher in developing...

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