Articlegold2002

Stock Market Returns, Volatility, and Future Output

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

In this article, Hui Gho shows that, if stock volatility follows an AR(1) process, stock market returns relate positively to past volatility but relate negatively to contemporaneous volatility in Merton’s (1973) Intertemporal Capital Asset Pricing Model.

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References

1973The Pricing of Options and Corporate Liabilities 1973An Intertemporal Capital Asset Pricing Model 1997The Econometrics of Financial Markets 1987Expected stock returns and volatility 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?1989Why Does Stock Market Volatility Change Over Time?1994Automatic Lag Selection in Covariance Matrix Estimation 1981Stock Returns, Real Activity, Inflation, and Money

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