BBSA Research Projects (2016)
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Browsing BBSA Research Projects (2016) by Author "Lelo, Sora"
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- ItemAssessing the impact of volatility on expected stock return(Strathmore University, 2015-12) Lelo, SoraMany 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)