Earticle

초록

영어

The intertemporal behavior of expected market returns is not only driven by predictable market volatility, but also by unexpected volatility changes. Most of the empirical literature ignores the effects of unexpected volatility changes on the intertemporal relation; consequently, the previous empirical results suffer from the omitted variable bias. With the effects of a volatility shock incorporated in the estimation, we find a strong positive intertemporal relation. We also find that the quicker reversion of a negative return is attributable to a negative intertemporal relation. We interpret this negative intertemporal relation under a negative return shock as a reflection of strong optimistic expectations by investors on the future performance of stock prices.

목차

Abstract
 I. Models
  A. Intertemporal Relation
  B. Empirical Models
 II. Empirical Results
  A. The Data
  B. Estimation Results, Interpretations and Diagnostics
 III. Asymmetric Reverting Property of Expected returns
 IV. Conclusions
 REFERENCES
 Table

키워드

저자

• Kiseok Nam [ Sy Sims School of Business Yeshiva University 500 West 185th Street New York, NY 10033 ]
• Chong Soo Pyun [ Fogelman College of Business and Economics University of Memphis Memphis, TN 38152 ] Designated presenter
• Joshua Krausz [ Sy Sims School of Business Yeshiva University 500 West 185th Street New York, NY 10033 ]

참고문헌

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간행물

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• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330