Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.777627
Title: Volatility risk and stock return predictability on global financial crises
Author: Kongsilp, Worawuth
ISNI:       0000 0004 7963 4048
Awarding Body: University of Greenwich
Current Institution: University of Greenwich
Date of Award: 2017
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Abstract:
This dissertation provides three self-contained empirical studies for investigating the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE) from January 2001 to December 2010, three essays are simultaneously researched. The first essay contributes to the existing literature on volatility measures, volatility risk and stock return predictability in Global Financial Crises. We examine "different idiosyncratic volatility forecasting measures on future stock returns in four different periods (Bear and Bull markets)". First we find clear and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub-period both in Bear and Bull markets. Second, the evidence of cross-section firm-specific characteristics on stock returns has mixed positive and negative effects on Bear and Bull markets. Third, short selling constraints impact negatively on stock returns for only a Bull market and liquidity is meaningless for both Bear and Bull markets after the recent financial crisis. The second essay is enlarged to contribute to the literature of volatility measures and risk on stock return in term of industry specific effects during Global Financial Crises. First, the clear and robust empirical evidence indicates that the implied idiosyncratic volatility is the best stock return predictor for all sub periods both Bear and Bull markets in entire industries as same as all stock sectors which are not weak form, namely Consumer Goods, Healthcare, Services, and Technology except Basic Materials, Utilities, Industrial Goods, and Financial. Second, the cross-section firm-specific characteristics influence on stock returns forecast with mixed positive and negative effects for Bear and Bull markets for entire sectors and every eight stock sectors. Third, short selling constraints and liquidity are meaningless to impact on future stock returns for all sectors both Bull and Bull markets after sector classification. The third essay contributes to the scarce literature of earnings announcement surprises affected by implied idiosyncratic volatility of option prices over periods of two global financial crises, We examine "earnings announcement surprises embedded in option prices (via implied idiosyncratic volatility) prior to the announcement." At the end, we find clear and robust empirical evidence that the implied idiosyncratic volatility at the end of month can forecast Standardized Unexpected Earnings (SUE) in the stock group of earning announcement date from 11th till end of next month.
Supervisor: Mateus, Cesario ; Stojanovic, Aleksandar Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.777627  DOI: Not available
Keywords: HG Finance
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