全球智库信息集成服务系统(G2TT): On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach

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来源类型	Working Paper
规范类型	报告
DOI	10.3386/w9056
来源ID	Working Paper 9056
	On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach
	Michael W. Brandt; Qiang Kang
发表日期	2002-07-11
出版年	2002
语种	英语
摘要	We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a strong and robust negative correlation between the innovations to the conditional moments that leads to pronounced counter-cyclical variation in the Sharpe ratio. We document significant lead-lag correlations between the conditional moments that also appear related to business cycles. Finally, we show that although the conditional correlation between the mean and volatility is negative, the unconditional correlation is positive due to the lead-lag correlations.
主题	Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w9056
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/566665
推荐引用方式 GB/T 7714	Michael W. Brandt,Qiang Kang. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. 2002.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w9056.pdf（426KB）	智库出版物		限制开放	CC BY-NC-SA	浏览