文章基本信息

标题：Assessing Day-to-Day Volatility: Does the Trading Time Matter?
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作者：José Valentim Machado Vicente ; Gustavo Silva Araujo ; Paula Baião Fisher de Castro 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2014
卷号：12
期号：1
页码：41-66
语种：English
出版社：Link to the Brazilian Society of Finance
摘要：The aim of this study is to examine whether investors who trade daily but at different times have distinct perceptions about the risk of an asset. In order to capture the uncertainty faced by these investors, we define the volatility perceived by investors as the distribution of standard deviations of daily returns calculated from intraday prices collected randomly. We find that this distribution has a high degree of dispersion. This means that different investors may not share the same opinion regarding the variability of returns of the same asset. Moreover, the close-to-close volatility is often less than the median of the volatility distribution perceived by investors while the open-to-open volatility is greater than that statistic. From a practical point of view, our results indicate that volatilities estimated using traditional samples of daily returns (i.e., close-to-close and open-to-open returns) may not do a good job when used as inputs in financial models since they may not properly capture the risk investors are exposed.
其他摘要：The aim of this study is to examine whether investors who trade daily but at different times have distinct perceptions about the risk of an asset. In order to capture the uncertainty faced by these investors, we define the volatility perceived by investors as the distribution of standard deviations of daily returns calculated from intraday prices collected randomly. We find that this distribution has a high degree of dispersion. This means that different investors may not share the same opinion regarding the variability of returns of the same asset. Moreover, the close-to-close volatility is often less than the median of the volatility distribution perceived by investors while the open-to-open volatility is greater than that statistic. From a practical point of view, our results indicate that volatilities estimated using traditional samples of daily returns (i.e., close-to-close and open-to-open returns) may not do a good job when used as inputs in financial models since they may not properly capture the risk investors are exposed.
关键词：volatility;risk;uncertainty;volatilidade;risco;incerteza
其他关键词：Economics;volatility; risk; uncertainty;G1