Assessing the impact of volatility on expected stock return

dc.contributor.author	Lelo, Sora
dc.date.accessioned	2016-03-03T17:14:41Z
dc.date.available	2016-03-03T17:14:41Z
dc.date.issued	2015-12
dc.description	A research project submitted in partial fulfillment of the requirements for the Degree of Bachelor of Business Science Actuarial at Strathmore University	en_US
dc.description.abstract	Many researchers have studied movements in aggregate stock market volatility. Some argue that the relation between returns and volatility is strong. Pindyck (1984) attributed much of the decline in stock prices during the 1970's to increase in volatilty. On the other hand , Porteba and Summers (1986) argued that the time-series properties of volatility make the scenario unlikely. Neither study, however, provides a direct test of the relation between expected return and volatility. The amplitude of the fluctuations in aggregate stock volatility is difficult to explain using simple models of stock valuation (Schwert G. W.,1989)
dc.identifier.uri	http://hdl.handle.net/11071/4289
dc.language.iso	en	en_US
dc.publisher	Strathmore University	en_US
dc.subject	Expected stock return	en_US
dc.subject	Volatility	en_US
dc.subject	Impact	en_US
dc.title	Assessing the impact of volatility on expected stock return	en_US
dc.type	Other	en_US

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