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/.
Recommended Citation
French, K. R., Schwert, G., & Stambaugh, R. F. (1987). Expected Stock Returns and Volatility. Journal of Financial Economics, 19 (1), 3-29. http://dx.doi.org/10.1016/0304-405X(87)90026-2
Date Posted: 27 November 2017
This document has been peer reviewed.
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.