Stock Returns and Volatility
使用GARCH均值模型，基于日度和月度数据检验股票组合预期收益与条件方差或标准差的关系，发现两者关系微弱，提示投资者可能更关注其他风险指标。
Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. This paper uses GARCH in mean models to examine the relationship between mean returns on a stock portfolio and its conditional variance or standard deviation. After estimating a variety of models from daily and monthly portfolio return data, we conclude that any relationship between mean returns and own variance or standard deviation is weak. The results suggest that investors consider some other risk measure to be more important than the variance of portfolio returns.