On the Long-Run Volatility of Stocks

Página do item simplificado
dc.contributor.authorCarvalho, Carlos M.
dc.contributor.authorHEDIBERT FREITAS LOPES
dc.contributor.authorMcCulloch, Robert E.
dc.coverage.cidadeBostonpt_BR
dc.coverage.paisEstados Unidospt_BR
dc.creatorCarvalho, Carlos M.
dc.creatorMcCulloch, Robert E.
dc.date.accessioned2022-08-20T18:55:06Z
dc.date.available2022-08-20T18:55:06Z
dc.date.issued2018
dc.description.otherIn this article, we investigate whether or not the volatility per period of stocks is lower over longer horizons. Taking the perspective of an investor, we evaluate the predictive variance of k-period returns under different model and prior specifications. We adopt the state-space framework of Pástor and Stambaugh to model the dynamics of expected returns and evaluate the effects of prior elicitation in the resulting volatility estimates. Part of the developments includes an extension that incorporates time-varying volatilities and covariances in a constrained prior information set-up. Our conclusion for the U.S. market, under plausible prior specifications, is that stocks are less volatile in the long run. Model assessment exercises demonstrate the models and priors supporting our main conclusions are in accordance with the data. To assess the generality of the results, we extend our analysis to a number of international equity indices. Supplementary materials for this article are available online.pt_BR
dc.format.extentp. 1050-1069pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttps://doi.org/10.1080/01621459.2017.1407769pt_BR
dc.identifier.issue523pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4070
dc.identifier.volume113pt_BR
dc.language.isoInglêspt_BR
dc.publisherAmerican Statistical Associationpt_BR
dc.relation.ispartofJournal of the American Statistical Associationpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subject.keywordsCovariance matrixpt_BR
dc.subject.keywordsDynamic modelspt_BR
dc.subject.keywordsLong-run investingpt_BR
dc.subject.keywordsVolatilitypt_BR
dc.titleOn the Long-Run Volatility of Stockspt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttps://www.tandfonline.com/doi/full/10.1080/01621459.2017.1407769
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
relation.isAuthorOfPublication.latestForDiscovery41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
Arquivos
Pacote Original
Agora exibindo 1 - 2 de 2
N/D
Nome:
R_Artigo_2018_On the Long-Run Volatility of Stocks_TC.pdf
Tamanho:
39.75 MB
Formato:
Adobe Portable Document Format
Descrição:
R_Artigo_2018_On the Long-Run Volatility of Stocks_TC
Baixar
Imagem de Miniatura
Nome:
Acesso_Primeira Pagina_On the Long-Run Volatility of Stocks.pdf
Tamanho:
259.91 KB
Formato:
Adobe Portable Document Format
Baixar
Licença do Pacote
Agora exibindo 1 - 1 de 1
N/D
Nome:
license.txt
Tamanho:
282 B
Formato:
Item-specific license agreed upon to submission
Descrição:
Baixar
Coleções
Coleção de Artigos Acadêmicos