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Expected stock returns and volatility

Journal of Financial Economics · 1987 · Vol. 19(1) · pp. 3–29

Kenneth R. French✉(University of Chicago)G. William Schwert(University of Rochester)Robert F. Stambaugh(University of Chicago)

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Financial Markets and Investment Strategies Market Dynamics and Volatility Monetary Policy and Economic ImpactVolatility (finance)EconomicsStock (firearms)Volatility risk premiumFinancial economicsStock marketStock market bubblePortfolioTreasuryGrowth stock

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References

The stochastic behavior of common stock variances Value, leverage and interest rate effects

Journal of Financial Economics · 1982 · 2,427 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Econometrica · 1982 · 20,395 citations

A Capital Asset Pricing Model with Time-Varying Covariances

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Generalized autoregressive conditional heteroskedasticity

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Asset returns and inflation

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