We propose to measure growth opportunities by firms’ exposure to idiosyncratic volatility news. Theoretically, we show that the value of a growth option increases in idiosyncratic volatility but its response to volatility of aggregate shocks can be either ...
Empirical evidence has shown that subordinated processes represent well the price changes of stocks and futures. Using either transaction counts or trading volume as a proxy for information arrival, it supports the contention that volatility is ...
Based on the experiments carried out in the simulated exchange independently developed by the Financial Engineering Laboratory of University of Science & Technology Beijing, this paper researched the impact funds have on the stock market after ...
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