Titulo: “On the Long Run Volatility of Stocks

Autores: Hedibert Lopes

In this paper we investigate whether or not the volatility per period of stocks is lower over longer horizons. Taking the perspective of an investor, we evaluate the predictive variance of k-period returns under different model and prior specifications. We adopt the state space framework of Pástor and Stambaugh to model the dynamics of expected returns and evaluate the effects of prior elicitation in the resulting volatility estimates. Part of the developments includes an extension that incorporates time-varying volatilities and covariances in a constrained prior information set up. Our conclusion is that for the U.S. market, under plausible prior specifications, stocks are less volatile in the long run. The results are supported by model assessment exercises that provide evidence to the assumptions leading to our main conclusion. To understand the generality of the results, we extend our analysis to a number of international equity indices.

[Descargar Artículo]

Fecha y hora: 13 de Octubre de 2017 | 13:00 hrs
Lugar: Sala P307 Edificio Placa (Diagonal Paraguay # 257, Santiago, Chile)

Confirmaciones al correo: Esta dirección de correo electrónico está siendo protegida contra los robots de spam. Necesita tener JavaScript habilitado para poder verlo.

[Volver al Inicio]