Are Stocks Really Less Volatile in the Long Run?

According to conventional wisdom, annualized volatility of stock returns is lower over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast, we find that stocks are substantially more volatile over long horizons from an investor's perspecti...

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Veröffentlicht in:	The Journal of finance (New York) 2012-04, Vol.67 (2), p.431-478
Hauptverfasser:	PÁSTOR, ĽUBOŠ, STAMBAUGH, ROBERT F.
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset allocation Autocorrelation Dividends Expected returns Forecasting techniques Graph theory Investment horizon Investment policy Investors Long-term analysis Mean reversion Predictability Statistical discrepancies Statistical variance Stock returns Studies Uncertainty Volatility Yield
Online-Zugang:	Volltext
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