作者
Turan G Bali, Nusret Cakici, Xuemin Yan, Zhe Zhang
发表日期
2005/4
期刊
Journal of Finance
卷号
60
期号
2
页码范围
905-929
简介
Goyal and SantaClara (2003) find a significantly positive relation between the equalweighted average stock volatility and the valueweighted portfolio returns on the NYSE/AMEX/Nasdaq stocks for the period of 1963:08 to 1999:12. We show that this result is driven by small stocks traded on the Nasdaq, and is in part due to a liquidity premium. In addition, their result does not hold for the extended sample of 1963:08 to 2001:12 and for the NYSE/AMEX and NYSE stocks. More importantly, we find no evidence of a significant link between the valueweighted portfolio returns and the median and valueweighted average stock volatility.
引用总数
学术搜索中的文章
TG Bali, N Cakici, X Yan, Z Zhang - The journal of finance, 2005
T Bali, N Cakici - Journal of Finance, 2005