Abstract

http://ssrn.com/abstract=384542
 
 

References (20)



 
 

Citations (2)



 


 



Stock Returns and Volatility: Another Look


Ramon P. DeGennaro


University of Tennessee, Knoxville - Department of Finance

Yuzhen Lisa Zhao


Independent

Spring 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.

Number of Pages in PDF File: 29

Keywords: stock returns, volatility, risk, expected returns

JEL Classification: D4, G0, G1, M5, C5

working papers series


Download This Paper

Date posted: February 28, 2003  

Suggested Citation

DeGennaro, Ramon P. and Zhao, Yuzhen Lisa, Stock Returns and Volatility: Another Look (Spring 1998). Available at SSRN: http://ssrn.com/abstract=384542 or http://dx.doi.org/10.2139/ssrn.384542

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)
Yuzhen Lisa Zhao
Independent ( email )
Bellevue, 98006
Feedback to SSRN


Paper statistics
Abstract Views: 1,149
Downloads: 226
Download Rank: 74,397
References:  20
Citations:  2

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.406 seconds