Access the full text.
Sign up today, get DeepDyve free for 14 days.
R. Merton (1987)
Presidential Address: A simple model of capital market equilibrium with incomplete information
A. Kyle (1985)
Continuous Auctions and Insider TradingEconometrica, 53
(2001)
Profitability of momentum strategies : An evaluation of alternative explanations
Campbell Campbell, Hentschel Hentschel (1992)
No news is good news: An asymmetric model of changing volatility in stock returnsJournal of Financial Economics, 31
Campbell Campbell (1987)
Stock returns and the term structureJournal of Financial Economics, 18
R. Merton (1973)
AN INTERTEMPORAL CAPITAL ASSET PRICING MODELEconometrica, 41
Turner (1989)
10.1016/0304-405X(89)90094-9Journal of Financial Economics, 25
Merton Merton (1987)
A simple model of capital market equilibrium with incomplete informationJournal of Finance, 42
T. Andersen, T. Bollerslev, F. Diebold, Heiko Ebens (2001)
The distribution of realized stock return volatilityJournal of Financial Economics, 61
Robert Whitelaw (1994)
Time Variations and Covariations in the Expectation and Volatility of Stock Market ReturnsJournal of Finance, 49
Amihud (2002)
10.1016/S1386-4181(01)00024-6Journal of Financial Markets, 5
L. Harris, A. Amato (2019)
Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A ReplicationEconometric Modeling: Capital Markets - Asset Pricing eJournal
R. Baillie, Ramon Degennaro (1990)
Stock Returns and VolatilityJournal of Financial and Quantitative Analysis, 25
R. Pindyck (1983)
Risk, Inflation, and the Stock MarketCapital Markets: Asset Pricing & Valuation
R. Merton (1980)
On Estimating the Expected Return on the Market: An Exploratory InvestigationCapital Markets: Asset Pricing & Valuation
C. Jones (2002)
A Century of Stock Market Liquidity and Trading CostsColumbia Business School Research Paper Series
Jegadeesh (2001)
10.1111/0022-1082.00342Journal of Finance, 56
L. Harris (1994)
Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation SizesReview of Financial Studies, 7
L. Glosten, R. Jagannathan, D. Runkle (1993)
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on StocksJournal of Finance, 48
G. Schwert (1988)
Why Does Stock Market Volatility Change Over Time?NBER Working Paper Series
K. French, G. Schwert, R. Stambaugh (1987)
Expected stock returns and volatilityJournal of Financial Economics, 19
F. Black, Myron Scholes (1973)
The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 81
Goyal Goyal, Santa‐Clara Santa‐Clara (2003)
Idiosyncratic risk matters!Journal of Finance, 58
Goyal (2003)
10.1111/1540-6261.00555Journal of Finance, 58
Campbell (2001)
10.1111/0022-1082.00318Journal of Finance, 56
Schwert Schwert (1989)
Why does stock market volatility change over time?Journal of Finance, 44
Yexiao Xu, B. Malkiel (2004)
Idiosyncratic Risk and Security ReturnsAmerican Finance Association Meetings (AFA)
John Campbell, M. Lettau, B. Malkiel, Yexiao Xu (2000)
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic RiskCapital Markets: Asset Pricing & Valuation eJournal
Kuang-Cheng Chan, G. Károlyi, René Stulz (1992)
Global Financial Markets and the Risk Premium on U.S. EquityInternational Finance
Campbell Campbell, Lettau Lettau, Malkiel Malkiel, Xu Xu (2001)
Have individual stocks become more volatile? An empirical exploration of idiosyncratic riskJournal of Finance, 56
J. Campbell (1985)
Stock Returns and the Term StructureNBER Working Paper Series
Merton (1974)
10.1111/j.1540-6261.1974.tb03058.xJournal of Finance, 29
(1989)
A Markov model of heteroskedasticity, risk, and learning in the stock market
Newey (1987)
10.2307/1913610Econometrica, 55
Merton Merton (1980)
On estimating the expected return on the market: An exploratory investigationJournal of Financial Economics, 8
John Scruggs (1998)
Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two‐Factor ApproachJournal of Finance, 53
Merton Merton (1974)
On the pricing of corporate debt: The risk structure of interest ratesJournal of Finance, 29
Daniel Nelson (1991)
CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACHEconometrica, 59
Amit Goyal, Pedro Santa-clara (2002)
Idiosyncratic Risk Matters!AFA 2003 Washington
Pindyck Robert S. (1984)
Risk, inflation, and the stock marketAmerican Economic Review, 74
Campbell (1992)
10.1016/0304-405X(92)90037-XJournal of Financial Economics, 31
H. Levy (1978)
Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the PortfolioThe American Economic Review, 68
Amihud Amihud (2002)
Illiquidity and stock returns: Cross‐section and time‐series effectsJournal of Financial Markets, 5
Whitney Newey, K. West (1986)
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance MatrixEconometrics eJournal
ABSTRACT Goyal and Santa‐Clara (2003) find a significantly positive relation between the equal‐weighted average stock volatility and the value‐weighted portfolio returns on the NYSE/AMEX/Nasdaq stocks for the period of 1963:08 to 1999:12. We show that this result is driven by small stocks traded on the Nasdaq, and is in part due to a liquidity premium. In addition, their result does not hold for the extended sample of 1963:08 to 2001:12 and for the NYSE/AMEX and NYSE stocks. More importantly, we find no evidence of a significant link between the value‐weighted portfolio returns and the median and value‐weighted average stock volatility.
The Journal of Finance – Wiley
Published: Apr 1, 2005
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.