Finance Papers

Document Type

Journal Article

Date of this Version

1987

Publication Source

Journal of Financial Economics

Volume

19

Issue

1

Start Page

3

Last Page

29

DOI

10.1016/0304-405X(87)90026-2

Abstract

This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evidence that unexpected stock market returns are negatively related to the unexpected change in the volatility of stock returns. This negative relation provides indirect evidence of a positive relation between expected risk premiums and volatility.

Copyright/Permission Statement

© 1987. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/.

Comments

At the time of publication, author Robert F. Stambaugh was affiliated with the University of Chicago. Currently, he is a faculty member at the Wharton School at the University of Pennsylvania.

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Date Posted: 27 November 2017

This document has been peer reviewed.