Papers by Michael Rockinger
European Actuarial Journal
Annales d'Économie et de Statistique, 2000
ABSTRACT Starting in 1995, we follow for three years the 120 most important companies listed on t... more ABSTRACT Starting in 1995, we follow for three years the 120 most important companies listed on the paris Bourse and examine the link between stock trading characteristics and different measures of earnings' surprises during annual and semi-annual public disclosures. After a short discussion of market organization and the regulation of financial disclosure in France, we assess intraday data to find analysts are overly optimistic of EPS and small companies are less analyzed than large ones. Studying further the evolution of portfolios sorted according to various unexpected earnings' criteria we find that, in some cases, there is a small pre-announcement drift. The study further reveals that there is a strong negative drift in prices before a negative EPS announcement and bad news agitate markets more than good news. More importantly, we find the market responds to a hierarchy of announcement surprises: a positive EPS is not enough to make investors bullish if it is decreasing. Even an increasing EPS is not engough if analysts' expectations are not met. Finally, prices adjust very quickly to public information but there is an imbalance between volume and trading intensity for the time necessary to settle back to their normal levels. This suggests institutional investors follow news more closely than small investors.
Annales D Economie Et De Statistique, 2000
In the finance literature, cross-sectional dependence in extreme returns of risky assets is often... more In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modelled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then existing finance models will lead to over-estimation of the risk of simultaneous extreme events. We provide simple techniques for deciding between these dependence classes and for quantifying the degree of dependence in each class. Examples based on daily stock market returns show that there is strong evidence in favour of asymptotically independent models for dependence in extremal stock market returns, and that most of the extremal dependence is due to heteroskedasticity in stock returns processes.
ABSTRACT In the finance literature, cross-sectional dependence in extreme returns of risky assets... more ABSTRACT In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modeled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then existing finance models will lead to over-estimation of the risk of simultaneous extreme events. We provide simple techniques for deciding between these dependence classes and for quantifying the degree of dependence in each class. Examples based on daily stock market returns show that there is strong evidence in favor of asymptotically independent models for dependence in extremal stock market returns, and that most of the extremal dependence is due to heteroskedasticity in stock returns processes.
Asia Pacific Financial Markets, 1997
Encompassing a very broad family of ARCH-GARCH models, we show that the AT-GARCH (1, 1) model, wh... more Encompassing a very broad family of ARCH-GARCH models, we show that the AT-GARCH (1, 1) model, where volatility rises more in response to bad news than to good news, and where news are considered bad only below a certain level, is a remarkably robust representation of worldwide stock market returns. The residual structure is then captured by extending ATGARCH (1, 1) to an hysteresis model, HGARCH, where we model structured memory effects from past innovations. Obviously, this feature relates to the psychology of the markets and the way traders process information. For the French stock market we show that votalitity is affected differently, depending on the recent past being characterized by returns all above or below a certain level. In the same way a longer term trend may also influence volatility. It is found that bad news are discounted very quickly in volatility, this effect being reinforced when it comes after a negative trend in the stock index. On the opposite, good news have a very small impact on volatility except when they are clustered over a few days, which in this case reduces volatility.
Journal of Banking & Finance, 2015
SSRN Electronic Journal, 2000
We investigate the consequences for value-at-risk and expected shortfall purposes of using a GARC... more We investigate the consequences for value-at-risk and expected shortfall purposes of using a GARCH filter on various mis-specified processes. We show that careful investigation of the adequacy of the GARCH filter is necessary since under mis-specifications a GARCH filter appears to do more harm than good. Using an unconditional non filtered tail estimate appears to perform satisfactorily for dependent data with a degree of dependency corresponding to actual market conditions.
Review of Financial Studies, 2003
* Ser-Huang Poon started this project when she was at Lancaster University. She wants to thank th... more * Ser-Huang Poon started this project when she was at Lancaster University. She wants to thank the Unversity Research Committee for financial support. Rockinger, who is also at FAME and CEPR, acknowledges financial support from TMR (grant on Financial market's efficiency) and the Swiss National Science Foundation through NCCR (Financial Valuation and Risk Management). We would like to thank
In the finance literature, cross-sectional dependence in extreme returns of risky assets is often... more In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modeled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then existing finance models will lead to over-estimation of the risk of simultaneous extreme events. We provide simple techniques for deciding between these dependence classes and for quantifying the degree of dependence in each class. Examples based on daily stock market returns show that there is strong evidence in favor of asymptotically independent models for dependence in extremal stock market returns, and that most of the extremal dependence is due to heteroskedasticity in stock returns processes.
Dunis/Trading and Investment, 2003
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Papers by Michael Rockinger