Abstract

http://ssrn.com/abstract=86130
 
 

Citations



 


 



Macroeconomic Factors and The Asymmetric Predictability of Conditional Variances


Bill B. Francis


University of South Florida - College of Business Administration

Iftekhar Hasan


Fordham University; Bank of Finland


European Financial Management, Vol 4, No 2 July 1998

Abstract:     
This paper investigates the predictability of the volatilities of large versus small firms. Using AR-GARCH models we show that there is symmetry in the ability of firms of different market values to predict conditional variances. Specifically, we show that volatility surprises of small (large) firms are important in predicting the conditional variance of large (small) firms. These results are different than those previously reported which indicate that there is an asymmetry in the predictability of the volatilities of large versus small firms. This predictive ability is still present when the equation of conditional variance includes state variables such as the default premium, dividend yield and the term premium. Finally, our results indicate that the pattern of symmetric predictability is present in both pre- and post-war sample periods.

JEL Classification: G12, G14

Accepted Paper Series





Not Available For Download

Date posted: May 19, 1998  

Suggested Citation

Francis, Bill B. and Hasan, Iftekhar, Macroeconomic Factors and The Asymmetric Predictability of Conditional Variances. European Financial Management, Vol 4, No 2 July 1998. Available at SSRN: http://ssrn.com/abstract=86130

Contact Information

Bill B. Francis
University of South Florida - College of Business Administration ( email )
4202 E. Fowler Avenue, BSN 3403
Dept. of Finance
Tampa, FL 33620-5500
United States
813-974-6300 (Phone)
813-974-3030 (Fax)
HOME PAGE: http://www.coba.usf.edu/departments/finance/facult
Iftekhar Hasan (Contact Author)
Fordham University ( email )
113 West 60th Street
New York, NY 10023
United States
Bank of Finland ( email )
P.O. Box 160
Helsinki 00101
Finland
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