NDLI: Stock returns and volatility: Another look

Content Provider	Springer Nature Link
Author	DeGennaro, Ramon P. Zhao, Yuzhen Lisa
Copyright Year	1998
Abstract	Most empirical work examining the intertemporal mean-variance relationship in stock returns has tended to use relatively simple specifications of the mean and especially of the conditional variance. We augment the information set to include economic variables that other researchers have found to be important and use GARCH-M models to explore the relation between volatility and expected stock returns. We find that the additional variables have little impact on the conditional variance and that any intertemporal relationship between volatility and stock returns is weak or unstable. Our results signal the need for theoretical models of the intertemporal volatility-return relationship, and call for further studies of the determinants of the conditional variance of stock returns.
Starting Page	5
Ending Page	18
Page Count	14
File Format	PDF
ISSN	10550925
Journal	Journal of Economics and Finance
Volume Number	22
Issue Number	1
e-ISSN	19389744
Language	English
Publisher	Springer US
Publisher Date	1998-01-01
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Economics general Financial Economics Finance /Banking
Content Type	Text
Resource Type	Article
Subject	Finance Economics and Econometrics

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Stock returns and volatility: Another look