THE RISK AND REQUIRED RETURN OF COMMON-STOCK FOLLOWING MAJOR PRICE INNOVATIONS

被引:36
作者
BROWN, KC [1 ]
HARLOW, WV [1 ]
TINIC, SM [1 ]
机构
[1] FIDELITY MANAGEMENT TRUST CO, BOSTON, MA 02109 USA
关键词
D O I
10.2307/2331153
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper presents empirical evidence demonstrating that the risk and expected returns of common stocks typically change in the aftermath of large price movements. When temporary changes in uncertainty follow major financial events, subsequent stock returns should be positively correlated with the shift in return volatility. This prediction is strongly supported by the data on more than 9,100 daily price change events during 1962-1985. Moreover, the data also suggest that ex ante returns on common stocks may incorporate a premium for increases in parameter uncertainty associated with the events.
引用
收藏
页码:101 / 116
页数:16
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