On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
使用改进的GARCH-M模型，发现股票月度条件期望收益与条件方差呈负相关，且正负冲击对条件波动的影响不对称，对金融经济学和波动率建模研究者有参考价值。
We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH-M model modified by allowing (1) seasonal patterns in volatility, (2) positive and negative innovations to returns having different impacts on conditional volatility, and (3) nominal interest rates to predict conditional variance. Using the modified GARCH-M model, we also show that monthly conditional volatility may not be as persistent as was thought. Positive unanticipated returns appear to result in a downward revision of the conditional volatility whereas negative unanticipated returns result in an upward revision of conditional volatility.