Semantic Scholar Open Access 1993 9189 sitasi

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

L. Glosten R. Jagannathan D. Runkle

Lihat Sumber DOI

Abstrak

The authors find support for a negative relation between conditional expected monthly return and conditional variance of monthly return using a GARCH-M model modified by allowing (1) seasonal patterns in volatility, (2) positive and negative innovations to returns having different impacts on conditional volatility, and (3) nominal interest rates to predict conditional variance. Using the modified GARCH-M model, they also show that monthly conditional volatility may not be as persistent as was thought. Positive unanticipated returns appear to result in a downward revision of the conditional volatility, whereas negative unanticipated returns result in an upward revision of conditional volatility. Copyright 1993 by American Finance Association.

Topik & Kata Kunci

Economics

Penulis (3)

L. Glosten

R. Jagannathan

D. Runkle

Format Sitasi

APA MLA BibTeX

Glosten, L., Jagannathan, R., Runkle, D. (1993). On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. https://doi.org/10.1111/J.1540-6261.1993.TB05128.X

Akses Cepat

Lihat di Sumber doi.org/10.1111/J.1540-6261.1993.TB05128.X

Informasi Jurnal

Tahun Terbit: 1993
Bahasa: en
Total Sitasi: 9189×
Sumber Database: Semantic Scholar
DOI: 10.1111/J.1540-6261.1993.TB05128.X
Akses: Open Access ✓