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Medientyp:
E-Artikel
Titel:
Good News, Bad News, Volatility, and Betas
Beteiligte:
BRAUN, PHILLIP A.;
NELSON, DANIEL B.;
SUNIER, ALAIN M.
Erschienen:
Wiley, 1995
Erschienen in:
The Journal of Finance, 50 (1995) 5, Seite 1575-1603
Sprache:
Englisch
DOI:
10.1111/j.1540-6261.1995.tb05189.x
ISSN:
0022-1082;
1540-6261
Entstehung:
Anmerkungen:
Beschreibung:
ABSTRACTWe investigate the conditional covariances of stock returns using bivariate exponential ARCH (EGARCH) models. These models allow market volatility, portfolio‐specific volatility, and beta to respond asymmetrically to positive and negative market and portfolio returns, i.e., “leverage” effects. Using monthly data, we find strong evidence of conditional heteroskedasticity in both market and non‐market components of returns, and weaker evidence of time‐varying conditional betas. Surprisingly while leverage effects appear strong in the market component of volatility, they are absent in conditional betas and weak and/or inconsistent in nonmarket sources of risk.