JFQ volume 40 issue 4 Back matter
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JFQ volume 40 issue 3 Front matter
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JFQ volume 40 issue 1 Front matter
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JFQ volume 40 issue 3 Back matter
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JFQ volume 40 issue 2 Back matter
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JFQ volume 40 issue 1 Back matter
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JFQ volume 40 issue 2 Front matter
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JFQ volume 40 issue 4 Front matter
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Information Quality, Learning, and Stock Market Returns
Abstract This paper studies how the precision of noisy public information that investors receive about the expected aggregate dividend growth rate affects stock market returns. I show that less precise information can increase the risk premium and stock return volatility. The numerical results from my calibrated model also show that noisy information can significantly increase the risk premium and stock return volatility. My finding implies that the presence of noisy information may help explain the large average risk premium and return volatility in the U.S. financial market. In addition, my finding suggests it is optimal for firms to disclose to investors more precise information to reduce the cost of equity capital.
The Performance of Alternative Interest Rate Risk Measures and Immunization Strategies under a Heath-Jarrow-Morton Framework
Abstract Using a Monte Carlo simulation, this study addresses the question of how traditional risk measures and immunization strategies perform when the term structure evolves in a Heath-Jarrow-Morton (1992) manner. The results suggest that, for immunization purposes, immunization strategies and portfolio formation strategies are more important than interest rate risk measures. The performance of immunization strategies depends more on the transaction costs and the holding period than on the risk measures. Moreover, the immunization performance of bullet and barbell portfolios is not very sensitive to interest rate risk measures.