The Persistence of Volatility and Stock Market Fluctuations
研究股票市场价格波动率的变化是否会影响价格水平，发现波动率序列相关性弱，冲击不持久，因此对价格影响小，质疑了1970年代股市表现不佳源于波动率导致风险溢价上升的说法。
This paper examines the potential influence of changing volatility in stock market prices on the level of stock market prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected required rates of return for relatively short intervals. These findings lead us to be skeptical of recent claims that the stock market's poor performance during the 1970's can be explained by volatility-induced increases in risk premia.