The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns

Robert A Haugen, Eli Talmor and Walter N Torous

Journal of Finance, 1991, vol. 46, issue 3, 985-1007

Abstract: This paper estimates volatility changes in daily returns to the Dow Jones Industrial Average over the sample period 1897 through 1988. This allow a direct investigation of the reaction of the level of stock prices and subsequent expected returns to these estimated changes in volatility. The authors provide empirical evidence consistent with relatively large and systematic revisions in stock prices and subsequent expected returns to volatility changes. However, there appears to be an asymmetry in the market's reaction to volatility increases as opposed to volatility decreases. A majority of their volatility changes cannot be associated with the release of significant economic information. Copyright 1991 by American Finance Association.

Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (65)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819910 ... O%3B2-7&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:46:y:1991:i:3:p:985-1007

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().