Stock Returns and Volatility: Another Look

29 Pages Posted: 28 Feb 2003

See all articles by Ramon P. DeGennaro

Ramon P. DeGennaro

University of Tennessee, Knoxville - Department of Finance

Yuzhen Lisa Zhao

Independent

Multiple version iconThere are 2 versions of this paper

Date Written: 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.

Keywords: stock returns, volatility, risk, expected returns

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

Suggested Citation

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

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
United States

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