REGIME CHANGES IN STOCK RETURNS
研究股票收益模型中参数估计的三个不稳定来源：时变预期均值收益、时变收益波动率和制度因素变化。通过分析美国股票收益的两个八年期数据，发现每次均存在由波动率突变驱动的制度转换。
This paper studies three sources of instability in parameter estimates of stock return models (1) time‐varying expected mean returns, (2) time‐varying return volatility and (3) changing institutional factors. We model United States stock returns as a function of a constant expected return and financing costs resulting from an institutional feature, delayed delivery. We examine two eight‐year periods and find that both contain a regime shift driven by an abrupt change in volatility. The first occurs during an international monetary crisis amid important Watergate developments. The second is on the first trading day after the reappointment of Paul Volcker as the chairman of the United States Federal Reserve Board.