search query: @journal_id 56 / total: 1032
reference: 347 / 1032
| Author: | Chou, N. DeGennaro, R. |
| Title: | Regime changes in stock returns |
| Journal: | Journal of Business Finance and Accounting
1994 : JAN, VOL. 21:1, p. 93-108 |
| Index terms: | CHANGE STOCK RETURNS USA |
| Language: | eng |
| Abstract: | This paper studies three sources of instability in parameter estimates of stock return models (1) time-varying expected mean returns, (2) time-varying return volatility and (3) changing institutional factors. The authors model United States stock returns as a function of a constant expected return and financing costs resulting from an institutional feature, delayed delivery. The authors examine two eight-year periods and find that both contain a regime shift driven by an abrupt change in volatility. |
SCIMA