Journal of the Korean Operations Research and Management Science Society (한국경영과학회지)

The Korean Operations Research and Management Science Society (한국경영과학회)
권호 표지

A Study on the Relationship between expected stock return and volatility

기대수익률과 주가변동성의 관계 연구

  • Published : 1997.06.01
Download PDF
⟨ Previous Next ⟩

Abstract

There have been many studies concerning the relationships between stock returns and volatilities. Their positive relationship is well known from the theoretical point of view, but not empirically shown. Franch, Schwert and Stambaugh [11] has empirically provided the indirect evidence of the positive relationship betwen expected stock return and expected volatility. However, their study lacks some statistical validity. This study reexamines the relationship using regression diagnostics and GARCH model from an international point of view. The empirical results fall to show the positive relationship between expected stock return and expected volaiility, which contradicts those of France, Schwert and Stambangh [1].

Keywords

References

  1. Journal of Financial Economics v.25 Nonstationary Expected Returns : Implications for Tsts of Market Efficiency and Serial Correlations in Returns Ball, Ray;S.P. Kothari
  2. Journal of Financial Economics Emerging Equity Market Volatility Bekaert, Geert;C. R. Harvey
  3. Regression Diagnostics :Indentifying Data and Sources of Collinearity Belsley, D. A.;E. Kuh;R. E. Welsch
  4. Journal of Econmetrics v.31 Generalized Autoregressive Conditional Heteroscedasticity Bollerslev, Tim
  5. Journal of Business v.61 Time-Variation in Expected Returns Conard, J.;G. Kaul
  6. Econometrica v.50 Autoreressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation Engle, Robert, F.
  7. Journal of Political Economy v.96 Permanent and Temporary Components of Stock Prices Fama, E.F.;K.R. French
  8. Working paper #220, University of Chicago Business Conditions and Expected Returns on Stocks and Bonds Fama, E.F.;K.R. French
  9. Journal of Finance v.44 Changes in Expected Security Returns , Risk, and the Level of Interest Rates Ferson, W.E.
  10. Working paper, Unicersity of Chicago and Duke University Time Variation of Economic Risk Premiums Ferson, W. E.;C.R. Harvey
  11. Journal of Financial Economics v.19 Expected Returns and Stock Market Volatility French, K.R.;G.W. Schwert;R.F. Stambaugh
  12. Naval Research Logisgics v.34 The Complementary Use of Regressing Diagnostics and Robust Extimators Gibbons, D.I.;G.C. McDonald
  13. Journal of Finance v.44 S&P 500 Cash Stock Volatilities Harris, L.
  14. Journal of Finance v.45 Margin Regulation and Stock Market Volatility Hsieh, D.A.;M.H. Miller
  15. Pacific-Basin Capital Market Research v.II Time-Varying Volatilities and Stock Market Returns: International Evidence Lee, Sang-Bin;Ki-Yool Ohk
  16. Weekend effects in Stock Market Returns : An Overview , in Stock Market Anomalies Levi, M.;Elroy Dimson(Ed.)
  17. Biometrica A Statistical Paradox Lindley, D.V.
  18. Journal of Financial Economics v.8 On Estimating the Expercted Returnon the Market : An Exploratory Investigation Merton, Robert C.
  19. American Economic Review v.76 The Persistence of Volatility and Stock Market Fluctuations Poterba, J.M.;L.H. Summers
  20. Journal of Financial Economics v.22 Mean Reversion in Stock Prices : Evidence and Implications Poterba, J.M.;L.H. Summers
  21. Journal of Finance v.44 Why Does Stock Market Volatility Change over Time? Schwert, G.W.
  22. Econometrica v.48 A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity White Halbert