Fundamental Volatility and Financial Stability - HAL Accéder directement au contenu
Pré-publication, Document de travail Année : 2023

Fundamental Volatility and Financial Stability

Résumé

Financial investors choose the capital they invest into risky firms based on the return they expect. The actual return depends on fundamental shocks and the aggregate investment, which gives rise to beauty-contest issues. The paper characterizes how the ability of investors to solve these issues relates to the amount of fundamental volatility. It exploits this link to provide a quantitative assessment of the contribution of fundamentals to market volatility. Volatility would be driven by fundamentals in most markets. However out-ofequilibrium beliefs significantly contribute to observed volatility in markets of the financial sector.
Fichier principal
Vignette du fichier
wp_202330_.pdf ( 569.47 Ko ) Télécharger
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

halshs-04210677, version 1 (19-09-2023)

Identifiants

  • HAL Id : halshs-04210677 , version 1

Citer

Gabriel Desgranges, Stéphane Gauthier. Fundamental Volatility and Financial Stability. 2023. ⟨halshs-04210677⟩
34 Consultations
29 Téléchargements
Dernière date de mise à jour le 28/04/2024
comment ces indicateurs sont-ils produits

Partager

Gmail Facebook Twitter LinkedIn Plus