The third and final study examines the causal relationship between uncertainty about macroeconomic fundamentals and return volatility. The underlying question is: does higher return volatility result in higher uncertainty in beliefs amongst analysts, or the other way around? Using daily data on analysts’ uncertainty and stock and bond volatility, this study shows evidence that uncertainty and volatility are not causally related.
|Qualification||Doctor of Philosophy|
|Award date||17 Dec 2013|
|Place of Publication||Tilburg|
|Publication status||Published - 2013|