The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Stock Returns and Volatility
Abstract
Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. This paper uses GARCH in mean models to examine the relationship between mean returns on a stock portfolio and its conditional variance or standard deviation. After estimating a variety of models from daily and monthly portfolio return data, we conclude that any relationship between mean returns and own variance or standard deviation is weak. The results suggest that investors consider some other risk measure to be more important than the variance of portfolio returns.
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Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Cited by
Modeling and pricing long memory in stock market volatility
Bollerslev, T., & Ole Mikkelsen, H. (1996) · Journal of Econometrics · doi:10.1016/0304-4076(95)01736-4 · Cited by 1,208
Inequality Constraints in the Univariate GARCH Model
Nelson, D. B., & Cao, C. Q. (1992) · Journal of Business & Economic Statistics · doi:10.1080/07350015.1992.10509902 · Cited by 608
Neglecting parameter changes in GARCH models
Hillebrand, E. (2005) · Journal of Econometrics · doi:10.1016/j.jeconom.2004.09.005 · Cited by 320
MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE
Theodossiou, P., & Lee, U. (1993) · Journal of Financial Research · doi:10.1111/j.1475-6803.1993.tb00152.x · Cited by 313
Metadata
- Authors
- Baillie, R. T., & DeGennaro, R. P.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 1990-06
- Volume
- 25
- Issue
- 2
- Pages
- 203
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W1989729764
- Cited by
- 720
- References
- 2
- FWCI
- 22.83
- Type
- journal article
- Language
- en
- Open access
- closed
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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.
