Expected stock returns and volatility-英文文献.pdf

Journal of Financial Economics 19 (1987) 3-29. North-Holland EXPECTED STOCK RETURNS AND VOLATILITY* Kenneth R. FRENCH University of Chicago, Chicago. IL 60637, USA G. William SCHWERT University of Rochester, Rochester, NY 11627, USA Robert F. STAMBAUGH University of Chicago, Chicago, IL 60637, USA Received November 1985, final version received December 1986 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. 1. Introduction Many studies document cross-sectional relations between risk and expected returns on common stocks. These studies generally measure a stock’s risk as the covariance between its return and one or more variables. For example, the expected return on a stock is found to be related to covariances between its return and (i) the return on a market portfolio [Black, Jensen and Scholes (1972), Fama and MacBeth (1973)], (ii) factors extracted from a multivariate time series of returns [Rol