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Stock Market Returns, Volatility, and Future Output (ICPSR 1269)
In this article, the author shows that, if stock volatility follows an AR(1) process, stock market returns relate positively to past volatility but relate negatively to contemporaneous volatility in Merton's (1973) Intertemporal Capital Asset Pricing Model. The model helps explain the recent finding that stock market volatility drives out returns in forecasting real gross domestic product growth because the predictive power of returns is hampered by their positive correlation with past volatility. If the positive relation between returns and past volatility is controlled for, however, the author finds that volatility provides no additional information beyond returns in forecasting output in the post-World War II sample.
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Guo, Hui. Stock Market Returns, Volatility, and Future Output. ICPSR01269-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2003-04-18. http://doi.org/10.3886/ICPSR01269.v1
Persistent URL: http://doi.org/10.3886/ICPSR01269.v1
Scope of Study
Geographic Coverage: United States
(1) The files submitted are the program file, 0209hgp.txt, and the data file, 0209hgd.txt. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.
Original ICPSR Release: 2003-04-18
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