Why Does Stock Market Volatility Change Over Time?
利用1857-1986年月度数据，分析股票波动率与宏观经济波动、财务杠杆、交易活动、违约风险及公司盈利的关系，发现1929-1940年大萧条期间波动异常高，且杠杆影响较小。
This paper analyzes the relation of stock volatility with real and nominal macroeconomic volatility, financial leverage, stock trading activity, default risk, and firm profitability using monthly data from 1857-1986. An important fact, previously noted by Officer [l973], is that stock return variability was unusually high during the 1929-1940 Great Depression. Moreover, leverage has a relatively small effect on stock volatility. The amplitude of the fluctuations in aggregate stock volatility is difficult to explain using simple models of stock valuation.