A note on Stein’s overreaction puzzle View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2019-03-26

AUTHORS

Yuehao Lin, Thorsten Lehnert

ABSTRACT

Recently, Christoffersen et al. (Rev Financ Stud 26(8):1963–2006, 2013) argue that the overreaction puzzle of Stein (J Finance 44(4):1011–1023, 1989) can be explained by a variance-dependent pricing kernel. In this note, we challenge this view. Our theoretical results are in line with their argument that the variance under risk-neutral measure is more persistent than the variance under physical measure due to a negative variance risk premium. But our results do not support their argument that the more persistent variance is able to qualitatively explain Stein’s findings. We show theoretically that the persistence of the volatility cannot amplify the movements of long-term variance to short-term fluctuations in variance and, therefore, conclude that Stein’s overreaction puzzle is still unsolved. More... »

PAGES

1-8

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10203-019-00244-z

DOI

http://dx.doi.org/10.1007/s10203-019-00244-z

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1113009063


Indexing Status Check whether this publication has been indexed by Scopus and Web Of Science using the SN Indexing Status Tool
Incoming Citations Browse incoming citations for this publication using opencitations.net

JSON-LD is the canonical representation for SciGraph data.

TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT

[
  {
    "@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json", 
    "about": [
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/1502", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Banking, Finance and Investment", 
        "type": "DefinedTerm"
      }, 
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/15", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Commerce, Management, Tourism and Services", 
        "type": "DefinedTerm"
      }
    ], 
    "author": [
      {
        "affiliation": {
          "alternateName": "University of Luxembourg", 
          "id": "https://www.grid.ac/institutes/grid.16008.3f", 
          "name": [
            "Luxembourg School of Finance, University of Luxembourg, 4, rue Albert Borschette, 1246, Luxembourg, Luxembourg"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Lin", 
        "givenName": "Yuehao", 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "University of Luxembourg", 
          "id": "https://www.grid.ac/institutes/grid.16008.3f", 
          "name": [
            "Luxembourg School of Finance, University of Luxembourg, 4, rue Albert Borschette, 1246, Luxembourg, Luxembourg"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Lehnert", 
        "givenName": "Thorsten", 
        "type": "Person"
      }
    ], 
    "citation": [
      {
        "id": "https://doi.org/10.1111/j.1540-6261.1989.tb02635.x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1020166097"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/j.1540-6261.1979.tb02070.x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1037131519"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/0022-1082.00348", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1044415897"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1093/rfs/6.2.327", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1060005590"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1093/rfs/hht033", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1060006662"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.3905/jod.2016.23.3.022", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1071560219"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2307/3003264", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1102602244"
        ], 
        "type": "CreativeWork"
      }
    ], 
    "datePublished": "2019-03-26", 
    "datePublishedReg": "2019-03-26", 
    "description": "Recently, Christoffersen et al. (Rev Financ Stud 26(8):1963\u20132006, 2013) argue that the overreaction puzzle of Stein (J Finance 44(4):1011\u20131023, 1989) can be explained by a variance-dependent pricing kernel. In this note, we challenge this view. Our theoretical results are in line with their argument that the variance under risk-neutral measure is more persistent than the variance under physical measure due to a negative variance risk premium. But our results do not support their argument that the more persistent variance is able to qualitatively explain Stein\u2019s findings. We show theoretically that the persistence of the volatility cannot amplify the movements of long-term variance to short-term fluctuations in variance and, therefore, conclude that Stein\u2019s overreaction puzzle is still unsolved.", 
    "genre": "research_article", 
    "id": "sg:pub.10.1007/s10203-019-00244-z", 
    "inLanguage": [
      "en"
    ], 
    "isAccessibleForFree": false, 
    "isPartOf": [
      {
        "id": "sg:journal.1313765", 
        "issn": [
          "1129-6569", 
          "1593-8883"
        ], 
        "name": "Decisions in Economics and Finance", 
        "type": "Periodical"
      }
    ], 
    "name": "A note on Stein\u2019s overreaction puzzle", 
    "pagination": "1-8", 
    "productId": [
      {
        "name": "readcube_id", 
        "type": "PropertyValue", 
        "value": [
          "a3b806d2e7806936c2f7d7a1ee5aca35f98111664afca462d6280e2296ae08c5"
        ]
      }, 
      {
        "name": "doi", 
        "type": "PropertyValue", 
        "value": [
          "10.1007/s10203-019-00244-z"
        ]
      }, 
      {
        "name": "dimensions_id", 
        "type": "PropertyValue", 
        "value": [
          "pub.1113009063"
        ]
      }
    ], 
    "sameAs": [
      "https://doi.org/10.1007/s10203-019-00244-z", 
      "https://app.dimensions.ai/details/publication/pub.1113009063"
    ], 
    "sdDataset": "articles", 
    "sdDatePublished": "2019-04-11T13:10", 
    "sdLicense": "https://scigraph.springernature.com/explorer/license/", 
    "sdPublisher": {
      "name": "Springer Nature - SN SciGraph project", 
      "type": "Organization"
    }, 
    "sdSource": "s3://com-uberresearch-data-dimensions-target-20181106-alternative/cleanup/v134/2549eaecd7973599484d7c17b260dba0a4ecb94b/merge/v9/a6c9fde33151104705d4d7ff012ea9563521a3ce/jats-lookup/v90/0000000367_0000000367/records_88242_00000001.jsonl", 
    "type": "ScholarlyArticle", 
    "url": "https://link.springer.com/10.1007%2Fs10203-019-00244-z"
  }
]
 

Download the RDF metadata as:  json-ld nt turtle xml License info

HOW TO GET THIS DATA PROGRAMMATICALLY:

JSON-LD is a popular format for linked data which is fully compatible with JSON.

curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1007/s10203-019-00244-z'

N-Triples is a line-based linked data format ideal for batch operations.

curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1007/s10203-019-00244-z'

Turtle is a human-readable linked data format.

curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1007/s10203-019-00244-z'

RDF/XML is a standard XML format for linked data.

curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1007/s10203-019-00244-z'


 

This table displays all metadata directly associated to this object as RDF triples.

81 TRIPLES      21 PREDICATES      31 URIs      16 LITERALS      5 BLANK NODES

Subject Predicate Object
1 sg:pub.10.1007/s10203-019-00244-z schema:about anzsrc-for:15
2 anzsrc-for:1502
3 schema:author Nbd45e0aa6ac9446e85664ada0a951d5b
4 schema:citation https://doi.org/10.1093/rfs/6.2.327
5 https://doi.org/10.1093/rfs/hht033
6 https://doi.org/10.1111/0022-1082.00348
7 https://doi.org/10.1111/j.1540-6261.1979.tb02070.x
8 https://doi.org/10.1111/j.1540-6261.1989.tb02635.x
9 https://doi.org/10.2307/3003264
10 https://doi.org/10.3905/jod.2016.23.3.022
11 schema:datePublished 2019-03-26
12 schema:datePublishedReg 2019-03-26
13 schema:description Recently, Christoffersen et al. (Rev Financ Stud 26(8):1963–2006, 2013) argue that the overreaction puzzle of Stein (J Finance 44(4):1011–1023, 1989) can be explained by a variance-dependent pricing kernel. In this note, we challenge this view. Our theoretical results are in line with their argument that the variance under risk-neutral measure is more persistent than the variance under physical measure due to a negative variance risk premium. But our results do not support their argument that the more persistent variance is able to qualitatively explain Stein’s findings. We show theoretically that the persistence of the volatility cannot amplify the movements of long-term variance to short-term fluctuations in variance and, therefore, conclude that Stein’s overreaction puzzle is still unsolved.
14 schema:genre research_article
15 schema:inLanguage en
16 schema:isAccessibleForFree false
17 schema:isPartOf sg:journal.1313765
18 schema:name A note on Stein’s overreaction puzzle
19 schema:pagination 1-8
20 schema:productId N07757fd1c2b3408a8ebe9dc045ec0085
21 N2d466c9729784d21a3ab0d0891d6723b
22 N4d124958e26645eda715df34acfea8db
23 schema:sameAs https://app.dimensions.ai/details/publication/pub.1113009063
24 https://doi.org/10.1007/s10203-019-00244-z
25 schema:sdDatePublished 2019-04-11T13:10
26 schema:sdLicense https://scigraph.springernature.com/explorer/license/
27 schema:sdPublisher N4b9218decd294a2abf5091377c33db76
28 schema:url https://link.springer.com/10.1007%2Fs10203-019-00244-z
29 sgo:license sg:explorer/license/
30 sgo:sdDataset articles
31 rdf:type schema:ScholarlyArticle
32 N07757fd1c2b3408a8ebe9dc045ec0085 schema:name dimensions_id
33 schema:value pub.1113009063
34 rdf:type schema:PropertyValue
35 N2d466c9729784d21a3ab0d0891d6723b schema:name readcube_id
36 schema:value a3b806d2e7806936c2f7d7a1ee5aca35f98111664afca462d6280e2296ae08c5
37 rdf:type schema:PropertyValue
38 N4b9218decd294a2abf5091377c33db76 schema:name Springer Nature - SN SciGraph project
39 rdf:type schema:Organization
40 N4d124958e26645eda715df34acfea8db schema:name doi
41 schema:value 10.1007/s10203-019-00244-z
42 rdf:type schema:PropertyValue
43 N5250cc00849644fdb635e82afd628c3e schema:affiliation https://www.grid.ac/institutes/grid.16008.3f
44 schema:familyName Lin
45 schema:givenName Yuehao
46 rdf:type schema:Person
47 N64bb14d79639419c9da0df5c0a7c039e schema:affiliation https://www.grid.ac/institutes/grid.16008.3f
48 schema:familyName Lehnert
49 schema:givenName Thorsten
50 rdf:type schema:Person
51 Na72869caf04748b885c6221c4c550057 rdf:first N64bb14d79639419c9da0df5c0a7c039e
52 rdf:rest rdf:nil
53 Nbd45e0aa6ac9446e85664ada0a951d5b rdf:first N5250cc00849644fdb635e82afd628c3e
54 rdf:rest Na72869caf04748b885c6221c4c550057
55 anzsrc-for:15 schema:inDefinedTermSet anzsrc-for:
56 schema:name Commerce, Management, Tourism and Services
57 rdf:type schema:DefinedTerm
58 anzsrc-for:1502 schema:inDefinedTermSet anzsrc-for:
59 schema:name Banking, Finance and Investment
60 rdf:type schema:DefinedTerm
61 sg:journal.1313765 schema:issn 1129-6569
62 1593-8883
63 schema:name Decisions in Economics and Finance
64 rdf:type schema:Periodical
65 https://doi.org/10.1093/rfs/6.2.327 schema:sameAs https://app.dimensions.ai/details/publication/pub.1060005590
66 rdf:type schema:CreativeWork
67 https://doi.org/10.1093/rfs/hht033 schema:sameAs https://app.dimensions.ai/details/publication/pub.1060006662
68 rdf:type schema:CreativeWork
69 https://doi.org/10.1111/0022-1082.00348 schema:sameAs https://app.dimensions.ai/details/publication/pub.1044415897
70 rdf:type schema:CreativeWork
71 https://doi.org/10.1111/j.1540-6261.1979.tb02070.x schema:sameAs https://app.dimensions.ai/details/publication/pub.1037131519
72 rdf:type schema:CreativeWork
73 https://doi.org/10.1111/j.1540-6261.1989.tb02635.x schema:sameAs https://app.dimensions.ai/details/publication/pub.1020166097
74 rdf:type schema:CreativeWork
75 https://doi.org/10.2307/3003264 schema:sameAs https://app.dimensions.ai/details/publication/pub.1102602244
76 rdf:type schema:CreativeWork
77 https://doi.org/10.3905/jod.2016.23.3.022 schema:sameAs https://app.dimensions.ai/details/publication/pub.1071560219
78 rdf:type schema:CreativeWork
79 https://www.grid.ac/institutes/grid.16008.3f schema:alternateName University of Luxembourg
80 schema:name Luxembourg School of Finance, University of Luxembourg, 4, rue Albert Borschette, 1246, Luxembourg, Luxembourg
81 rdf:type schema:Organization
 




Preview window. Press ESC to close (or click here)


...