Risk and return revisited: The volatility of individual stocks and the predictability of returns - Some surprising patterns

Journal of Portfolio Management

Volumn 23, Issue 3, 1997, Pages 9-14

  Malkiel, Burton G ^a   Xu, Yexiao ^b  

^a PRINCETON UNIVERSITY   (United States)

^b UNIVERSITY OF TEXAS AT DALLAS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031094142     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1997.409608     Document Type: Article

References (8)

1. Fama, Eugene F., and Kenneth R. French. "The Cross-Section of Expected Stock Returns." Journal of Finance, Vol. 47, No. 2 (1992), pp. 427-465.
2. French, Kenneth R., G. William Schwert, and Robert F. Stambaugh. "Expected Stock Returns and Volatility." Journal of Financial Economics, Vol. 19 (1987), pp. 3-29.
3. Malkiel, Burton G., and Yexiao Xu. "The Structure of Stock Market Volatility." Princeton University FRC Memo No. 154, December 1995.
4. Pindyck, Robert S. "Risk, Inflation, and the Stock Market." American Economic Review, Vol. 74 (1984), pp. 335-351.
5. Ross, Stephen A. "The Arbitrage Theory of Capital Asset Pricing." Journal of Economic Theory, Vol. 13 (1987), pp. 341-360.
6. Schwert, G. William. "Market Volatility: Review." Journal of Portfolio Management, Vol. 17, No. 4 (1991), pp. 74-78.
7. Sharpe, William F. "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk." Journal of Finance, Vol. 19 (1964), pp. 425-442.
8. Shiller, Robert J. Market Volatility. Cambridge: MIT Press, 1991.