SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Changing Nature of Stock and Bond Volatility
15 references·0 citing·40 second hop
The Changing Nature of Stock and Bond Volatility (2004)The Changing Nature of Stock and Bond Vol…An Analysis of the S&P 500 Index and Cowles’s Extensions: Price Indexes and Stock Returns, 1870–1999 (2002)An Analysis of the S&P 500 In…Bond Market Volatility Compared to Stock Market Volatility (2000)Bond Market Volatility Compar…What Rate of Return Can You Reasonably Expect… or What Can the Long Run Tell Us about the Short Run? (1997)What Rate of Return Can You R…Stocks for the Long Run (1994)Stocks for the Long RunStocks, bonds, bills, and inflation yearbook (1993)Stocks, bonds, bills, and inf…Stock returns and inflation: A long-horizon perspective (1993)Stock returns and inflation: …Indexes of U.S. Stock Prices from 1802 to 1987 (1990)Indexes of U.S. Stock Prices …Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…A Comparison of Annual Common Stock Returns: 1871-1925 with 1926-85 (1987)A Comparison of Annual Common…Asset returns and inflation (1977)Asset returns and inflationTHE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION (1976)THE “FISHER EFFECT” FOR RISKY…The Variability of the Market Factor of the New York Stock Exchange (1973)The Variability of the Market…Note on the Correlation of First Differences of Averages in a Random Chain (1960)Note on the Correlation of Fi…Common-stock indexes (1939)Common-stock indexesStock returns and inflation (1987)On the Risk of Stocks in the Long Run (1995)The Decline of Inflation and the Bull Market of 1982-1999 (2002)Money Illusion and Housing Frenzies (2007)Short- Term Interest Rates as Predictors of Inflation (2021)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macro variables and international stock return predictability (2004)Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)Time Series Analysis: Forecasting and Control (1977)Expected stock returns and volatility (1987)Identifying Bull and Bear Markets in Stock Returns (2000)Corporate bond default risk: A 150-year perspective (2011)Market-wide attention, trading, and stock returns (2015)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Foundations of Portfolio Theory (1991)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)Using Financial Data to Measure Effects of Regulation (1981)The Persistence of Volatility and Stock Market Fluctuations (1984)Stock Market Volatility (1990)Global Stock Markets in the Twentieth Century (1999)A multivariate model of strategic asset allocation (2002)Sources of Lifetime Inequality (2011)The Interaction Between Time-Nonseparable Preferences and Time Aggregation (1993)A brief history of market efficiency (1998)An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns (2003)The Search for the Best Financial Performance Measure (1997)Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1 (1998)Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)
this work references cited by second hop

References

  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1977Asset returns and inflation2,701 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,160 cited
  • 1994Stocks for the Long Run567 cited
  • 1973The Variability of the Market Factor of the New York Stock Exchange455 cited
  • 1993Stock returns and inflation: A long-horizon perspective426 cited
  • 1960Note on the Correlation of First Differences of Averages in a Random Chain406 cited
  • 1993Stocks, bonds, bills, and inflation yearbook379 cited
  • 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION357 cited
  • 1990Indexes of U.S. Stock Prices from 1802 to 1987356 cited
  • 2002An Analysis of the S&P 500 Index and Cowles’s Extensions: Price Indexes and Stock Returns, 1870–1999100 cited
  • 1939Common-stock indexes88 cited
  • 1987A Comparison of Annual Common Stock Returns: 1871-1925 with 1926-8561 cited
  • 1997What Rate of Return Can You Reasonably Expect… or What Can the Long Run Tell Us about the Short Run?52 cited
  • 2000Bond Market Volatility Compared to Stock Market Volatility40 cited

Cited by

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

No citing works inside the corpus for this window.