Please use this identifier to cite or link to this item: https://repositorio.insper.edu.br/handle/11224/4070
Type: Artigo Científico
Title: On the Long-Run Volatility of Stocks
Author: Carvalho, Carlos M.
Lopes, Hedibert Freitas
McCulloch, Robert E.
Publication Date: 2018
Abstract: In 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.
Keywords (english terms): Covariance matrix
Dynamic models
Long-run investing
Volatility
Language: Inglês
CNPq Area: Ciências Sociais Aplicadas
URI: https://www.tandfonline.com/doi/full/10.1080/01621459.2017.1407769
Copyright: O 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.
Appears in Collections:Coleção de Artigos Científicos

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