haku: @author Paudyal, K. / yhteensä: 9
viite: 7 / 9
| Tekijä: | Paudyal, K. Saldanha, l. |
| Otsikko: | Stock returns and volatility in two regime markets: International evidence. |
| Lehti: | International Review of Financial Analysis
1997 : VOL.6:3, p. 209-228 |
| Asiasana: | SHARE VALUATION RISK MANAGEMENT CAPITAL ASSET PRICING |
| Kieli: | eng |
| Tiivistelmä: | The authors examine the intertemporal relationship between stock returns and volatility within a two regime framework in the UK, USA, Germany, Japan and Italy. They extend previous research by examining the relationship between these two variables in regimes that are dependent on factors both exogeous and endogenous to the model. The exogenous separator is the sign of the observed risk premium while the endogenous separator is the sign of the risk premium predicted by different mactoeconomic varaiables. In a regime characterized by positive risk premium, excessreturns and expected volatility are positively associated while there exists a negative relation between unexpected volatility and excess retuns. This is proof of an ex ante positive relation between risk and return. The authors find that regardless of the regime, there is a positive relation between expected volarility and expected return and a negative relationsip between unexpected volatility and excess return. The results are consistent with the behavior of rational investors implying that while modelling this relationship the effect of the economic environment under which rational investors make investment decisions must be taken into account. The results are qualitatively similar for all countries in the sample. |
SCIMA