MARC Record from Scriblio

LEADER: 02184cam 22003017a 4500
001 2005615909
003 DLC
005 20050128134335.0
007 cr |||||||||||
008 050128s2003 mou sb f000 0 eng
010 $a 2005615909
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aGuo, Hui.
245 10 $aDoes stock market volatility forecast returns$h[electronic resource] :$bthe international evidence /$cHui Guo.
260 $a[St. Louis, Mo.] :$bFederal Reserve Bank of St. Louis,$c[2003]
490 1 $aWorking paper ;$v2003-012B
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 1/28/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"We use daily price indices obtained from the Morgan Stanley Capital International to construct realized volatility for 18 individual stock markets, including the US, and the world stock market. In contrast with the CAPM, we find that volatility by itself does not forecast excess returns in most countries; however, it becomes a significant predictor when combined with the US consumption-wealth ratio, which, as argued by recent authors, is a proxy for the liquidity premium. The latter result mainly reflects the fact that volatility in international stock markets co-moves closely with the US stock volatility: The former loses its predictive power if we also include the latter in the forecasting equation. Moreover, the out-of-sample forecast of the US or the world stock market returns appears to be a good proxy for conditional returns of international stock markets. Our results thus indicate that (1) volatility is one of important determinants of the equity premium and (2) international stock markets are integrated"--Federal Reserve Bank of St. Louis web site.
650 0 $aCapital assets pricing model.
650 0 $aStocks$xPrices$xMathematical models.
710 2 $aFederal Reserve Bank of St. Louis.
830 0 $aWorking paper (Federal Reserve Bank of St. Louis : Online) ;$v2003-012B.
856 40 $uhttp://research.stlouisfed.org/wp/more/2003-012/