The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns
Abstract
This article investigates empirically the comovements of the conditional mean and volatility of stock returns. It extends the results in the literature by demonstrating the role of the commercial paper—Treasury yield spread in predicting time variation in volatility. The conditional mean and volatility exhibit an asymmetric relation, which contrasts with the contemporaneous relation that has been tested previously. The volatility leads the expected return, and this time series relation is documented using offset correlations, short‐horizon contemporaneous correlations, and a vector autoregression. These results bring into question the value of modeling expected returns as a constant function of conditional volatility.
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Cites
The Jackknife, the Bootstrap and Other Resampling Plans
Efron, B. (1982) · Society for Industrial and Applied Mathematics eBooks · doi:10.1137/1.9781611970319 · Cited by 8,120
Agency Costs, Net Worth, And Business Fluctuations
Bernanke, B., Gertler, M., Bernanke, B., & Gertler, M. (1988) · Unknown · doi:10.22004/ag.econ.292693 · Cited by 4,386
Cited by
Forecasting the equity risk premium: the role of technical indicators
Neely, C. J., Rapach, D. E., Tu, J., & Zhou, G. (2014) · Management Science · doi:10.1287/mnsc.2013.1838 · Cited by 1,003
Metadata
- Authors
- WHITELAW, R. F.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1994-06
- Volume
- 49
- Issue
- 2
- Pages
- 515-541
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W1992893498
- Cited by
- 493
- References
- 2
- FWCI
- 11.96
- Type
- journal article
- Language
- en
- Open access
- closed
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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.
