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| Author: | Chen, C. Zhou, Z.-G. |
| Title: | Portfolio Returns, Market Volatility, and Seasonality |
| Journal: | Review of Quantitative Finance and Accounting
2001 : JUL, VOL. 17:1, p. 27-44 |
| Index terms: | FINANCE PORTFOLIO MANAGEMENT SEASONAL FLUCTUATION BUSINESS CYCLES |
| Language: | eng |
| Abstract: | This paper examines three important issues related to the relationship between stock returns and volatility. First, the authors answer the question if Duft'ee's findings are of the relationship between individual stock returns and volatility valid at the portfolio level. Second, if there is seasonality of the market return volatility. Lastly, if portfolio size does returns react symmetrically to the market volatility during business cycles. The authors find that the market volatility exhibits strong autocorrelation and small size portfolio returns exhibit seasonality. This paper documents a strongly negative contemporaneous relationship between the size portfolio returns and the market volatility that is consistent with the previous findings at the aggregate level, but is inconsistent with the findings at the individual firm level. |
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