The Resource Stock Market Returns, Volatility, and Future Output

Stock Market Returns, Volatility, and Future Output

Label
Stock Market Returns, Volatility, and Future Output
Title
Stock Market Returns, Volatility, and Future Output
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Author
Contributor
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Summary
In this article, the author shows that, if stock volatility follows an AR(1) process, stock market returns relate positively to past volatility but relate negatively to contemporaneous volatility in Merton's (1973) Intertemporal Capital Asset Pricing Model. The model helps explain the recent finding that stock market volatility drives out returns in forecasting real gross domestic product growth because the predictive power of returns is hampered by their positive correlation with past volatility. If the positive relation between returns and past volatility is controlled for, however, the author finds that volatility provides no additional information beyond returns in forecasting output in the post-World War II sample
http://library.link/vocab/creatorName
  • Guo, Hui
  • Inter-university Consortium for Political and Social Research [distributor]
Label
Stock Market Returns, Volatility, and Future Output
Instantiates
Publication
Note
1269
Control code
ICPSR01269.v1
Governing access note
Access restricted to subscribing institutions
Label
Stock Market Returns, Volatility, and Future Output
Publication
Note
1269
Control code
ICPSR01269.v1
Governing access note
Access restricted to subscribing institutions

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      43.907093 -69.963997
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