Abstract

http://ssrn.com/abstract=380520
 
 

Citations



 


 



Stock Returns and Volatility


Ramon P. DeGennaro


University of Tennessee, Knoxville - Department of Finance

Richard Baillie


Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management



Abstract:     
Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. This paper uses GARCH-in-mean models to examine the relationship between mean returns on a stock portfolio and its conditional variance or standard deviation.

After estimating a variety of models from daily and monthly portfolio return data we conclude that any relationship between mean returns and own variance or standard deviation is weak. The results suggest that investors consider some other risk measure to be more important than the variance of portfolio returns.

Keywords: stock returns, volatility, risk, expected return

JEL Classification: G0, G1, G2, M5, C3

working papers series


Not Available For Download

Date posted: February 26, 2003  

Suggested Citation

DeGennaro, Ramon P. and Baillie, Richard, Stock Returns and Volatility. Available at SSRN: http://ssrn.com/abstract=380520

Contact Information

Ramon P. DeGennaro (Contact Author)
University of Tennessee, Knoxville - Department of Finance ( email )
423 Stokely Management Center
Knoxville, TN 37996
United States
865-974-1726 (Phone)
865-974-1716 (Fax)
Richard Baillie
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management ( email )
East Lansing, MI 48824-1121
United States
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