search query: @author Stambaugh, R. F. / total: 13
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| Author: | French, K. R. Schwert, G. W. Stambaugh, R. F. |
| Title: | Expected stock returns and votality |
| Journal: | Journal of Financial Economics
1987 : SEP, VOL. 19:1, p.3-30 |
| Index terms: | STOCK MARKETS RISK |
| Language: | eng |
| Abstract: | The relation between stock returns and stock market votality is examined. It is found that the expected market risk premium - the expected return on a stock portfolio minus the treasury bill yield - is positively related to the predictable votality of stock returns. There is also evidence that unexpected stock market returns are negatively related to the unexpected change in the votality of stock returns. This negative relation provides indirect evidence of a positive relation between risk premiums and votality. |
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