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Author(s)
BALI TURAN G.,
CAKICI NUSRET,
YAN XUEMIN STERLING,
ZHANG ZHE
Publication year2005
Publication title
the journal of finance
Resource typeJournals
PublisherBlackwell Publishing
ABSTRACT Goyal and Santa‐Clara (2003) find a significantly positive relation between the equal‐weighted average stock volatility and the value‐weighted portfolio returns on the NYSE/AMEX/Nasdaq stocks for the period of 1963:08 to 1999:12. We show that this result is driven by small stocks traded on the Nasdaq, and is in part due to a liquidity premium. In addition, their result does not hold for the extended sample of 1963:08 to 2001:12 and for the NYSE/AMEX and NYSE stocks. More importantly, we find no evidence of a significant link between the value‐weighted portfolio returns and the median and value‐weighted average stock volatility.
Subject(s)archaeology , econometrics , economics , financial economics , geography , market liquidity , monetary economics , portfolio , stock (firearms) , volatility (finance)
Language(s)English
SCImago Journal Rank18.151
H-Index299
eISSN1540-6261
pISSN0022-1082
DOI10.1111/j.1540-6261.2005.00750.x
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