search query: @author Boatsman, J. / total: 3
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| Author: | Alford, A. Boatsman, J. |
| Title: | Predicting long-term stock return volatility: implications for accounting and valuation of equity derivatives |
| Journal: | Accounting Review
1995 : OCT, VOL. 70:4, p. 599-618 |
| Index terms: | STOCK OPTIONS COMPANIES ESTIMATION |
| Language: | eng |
| Abstract: | This study examines empirically the prediction of long-term stock return volatility. The authors find: (1) when using historical volatility to predict five-year monthly volatility, returns should be measured either weekly or monthly, and the historical period should be approximately five years; (2) when constructing a forecast based solely on historical volatilities of comparable firms, comparable firms should be selected on the basis of industry and firm size; and (3) a shrinkage forecast is more accurate than either a historical or a comparable-firm forecast. |
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