The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns
利用1897至1988年道琼斯工业平均指数的日收益率数据，估计波动率变化，并考察其对股价水平和后续预期收益的影响，发现市场反应存在不对称性，且多数波动率变化与重大经济信息发布无关。
ABSTRACT This paper estimates volatility changes in daily returns to the Dow Jones Industrial Average over the sample period 1897 through 1988. This allows a direct investigation of the reaction of the level of stock prices and subsequent expected returns to these estimated changes in volatility. We provide empirical evidence consistent with relatively large and systematic revisions in stock prices and subsequent expected returns to volatility changes. However, there appears to be an asymmetry in the market's reaction to volatility increases as opposed to volatility decreases. A majority of our volatility changes cannot be associated with the release of significant economic information.