A VARIANCE DECOMPOSITION FOR STOCK RETURNS

被引：720
|
作者：
CAMPBELL, JY
机构：
来源：
ECONOMIC JOURNAL | 1991年 / 101卷 / 405期
关键词：
D O I：
10.2307/2233809
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
引用
收藏
页码：157 / 179
页数：23
相关论文
共 50 条
  • [31] Metal Returns, Stock Returns and Stock Market Volatility
    Zevallos, Mauricio
    del Carpio, Carlos
    [J]. REVISTA ECONOMIA, 2015, 38 (75): : 101 - 122
  • [32] Strategic mean-variance investing under mean-reverting stock returns
    Jarner, Søren Fiig
    [J]. arXiv, 2022,
  • [33] The Causal Relationships in Mean and Variance between Stock Returns and Foreign Institutional Investment in India
    Inoue, Takeshi
    [J]. MARGIN-JOURNAL OF APPLIED ECONOMIC RESEARCH, 2009, 3 (04): : 319 - 337
  • [34] A Study of Variance Decomposition for the Macroeconomic Causes of Stock Market Volatility in China
    Chen Zhaoxu
    Xu Jun
    Kong Fanli
    [J]. PROCEEDINGS OF THE 5TH INTERNATIONAL CONFERENCE ON INNOVATION & MANAGEMENT, VOLS I AND II, 2008, : 960 - 964
  • [35] Average Stock Variance and Market Returns: Evidence of Time-Varying Predictability at the Daily Frequency
    Chen, Huafeng
    Ortiz-Molina, Hernan
    Zhang, Siliang
    [J]. JOURNAL OF PORTFOLIO MANAGEMENT, 2011, 37 (04): : 86 - 95
  • [36] Financial Integration and Variance Decomposition of Asian Stock Market: Evidence from India
    Bhardwaj, Nikhil
    Sharma, Nishi
    Mavi, Anupreet Kaur
    [J]. ASIAN JOURNAL OF BUSINESS AND ACCOUNTING, 2023, 16 (02): : 143 - 178
  • [37] DISTRIBUTION OF STOCK RETURNS
    OFFICER, RR
    [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1972, 67 (340) : 807 - 812
  • [38] Inflexibility and Stock Returns
    Gu, Lifeng
    Hackbarth, Dirk
    Johnson, Tim
    [J]. REVIEW OF FINANCIAL STUDIES, 2018, 31 (01): : 278 - 321
  • [39] Extreme stock returns
    D Glickman
    AG DiRienzo
    R Ochman
    [J]. Journal of Asset Management, 2001, 2 (2) : 107 - 127
  • [40] STOCK RETURNS AND VOLATILITY
    BAILLIE, RT
    DEGENNARO, RP
    [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1990, 25 (02) : 203 - 214
12345