Expected stock returns and volatility☆
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Cited by (2434)
Predicting stock market returns with average correlation and average variance: Decomposition approach
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2024, Journal of Banking and FinanceSpeculative and non-speculative equity premia
2024, Economics LettersAmbiguity and risk in the oil market
2024, Economic ModellingVolatility of volatility and leverage effect from options
2024, Journal of EconometricsWhy do rational investors like variance at the peak of a crisis? A learning-based explanation
2024, Journal of Monetary Economics
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We have received helpful comments from Joel Hasbrouck, Donald Keim, John Long, Charles Plosser, Jay Shanken, Lawrence Summers, Jerold Warner, Larry Weiss, Jerold Zimmerman, an anonymous referee, and especially Eugene Fama. The Batterymarch Financial Management Corporation, the Center for Research in Security Prices, the Foundation for Research in Economics and Education, and the Managerial Economics Research Center provided support for this project.
Copyright © 1987 Published by Elsevier B.V.