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Cited by 4,107

The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.

Expected stock returns and volatility

Open access
French, Kenneth R., Schwert, G.William, Stambaugh, Robert F.·1987·Journal of Financial Economics
DOI 10.1016/0304-405x(87)90026-2
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Abstract

This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evidence that unexpected stock market returns are negatively related to the unexpected change in the volatility of stock returns. This negative relation provides indirect evidence of a positive relation between expected risk premiums and volatility.

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Crossref · 10.1016/0304-405x(87)90026-2

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Metadata

Authors
French, K. R., Schwert, G. W., & Stambaugh, R. F.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
1987-09
Volume
19
Issue
1
Pages
3-29
ISSN
0304-405X (ISSN-L)
DOI
10.1016/0304-405x(87)90026-2
OpenAlex
W1966268097
Cited by
4,107
References
2
FWCI
85.08
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Expected stock returns and volatility. https://app.cochat.ai/papers/10.1016/0304-405x(87)90026-2
The paper
French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of Financial Economics. https://doi.org/10.1016/0304-405x(87)90026-2

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.