Good News, Bad News, Volatility, and Betas

Phillip Braun (), Daniel B Nelson and Alain M Sunier

Journal of Finance, 1995, vol. 50, issue 5, 1575-1603

Abstract: The authors investigate the conditional covariances of stock returns using bivariate exponential ARCH models. These models allow market volatility, portfolio-specific volatility, and beta to respond asymmetrically to positive and negative market and portfolio returns, i.e., 'leverage' effects. Using monthly data, the authors find strong evidence of conditional heteroscedasticity in both market and nonmarket components of returns, and weaker evidence of time-varying conditional betas. Surprisingly, while leverage effects appear strong in the market component of volatility, they are absent in conditional betas and weak and/or inconsistent in nonmarket sources of risk. Copyright 1995 by American Finance Association.

Date: 1995
References: Add references at CitEc
Citations: View citations in EconPapers (199)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819951 ... O%3B2-8&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:50:y:1995:i:5:p:1575-1603

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 ().