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Are Stocks Really Less Volatile in the Long Run? · Study

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PreprintAre Stocks Really Less Volatile in the Long Run?

Ľuboš Pástor2008

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Preprintgreen2008

Are Stocks Really Less Volatile in the Long Run?

Ľuboš Pástor · Robert F. Stambaugh

47 citations·0/0 files stored·SSRN Electronic Journal

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

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References

2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1989Business conditions and expected returns on stocks and bonds 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1988Permanent and Temporary Components of Stock Prices 2001Consumption, Aggregate Wealth, and Expected Stock Returns 1988Mean reversion in stock prices 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS

Cited by

2009Dynamic Asset Allocation with Ambiguous Return Predictability 2011Equity Premia Around the World 2006Strategic Asset Allocation for Long-Term Investors: Parameter Uncertainty and Prior Information 2011Measurement Errors of Expected-Return Proxies and the Implied Cost of Capital

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2012Are Stocks Really Less Volatile in the Long Run?article · 37 shared references 2009Are Stocks Really Less Volatile in the Long Run?report · 34 shared references 2005Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?preprint · 13 shared references 2017Stock Market Mean Reversion and Portfolio Choice over the Life Cyclearticle · 13 shared references 2001A Multivariate Model of Strategic Asset Allocationreport · 12 shared references 2008Predictable returns and asset allocation: Should a skeptical investor time the market?article · 12 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations47

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1136847

openalex_workW2162835896

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