Macroeconomic announcements and financial markets

J. Hu

Research output: ThesisDoctoral Thesis

Abstract

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.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • de Goeij, Peter, Co-promotor
  • Werker, Bas, Promotor
Award date17 Dec 2013
Place of PublicationTilburg
Publisher
Print ISBNs9789056683733
Publication statusPublished - 2013

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