Guo, Hui; Savickas, Robert - Federal Reserve Bank of St. Louis - 2006
stock market
volatility has negligible predictive power.
1
However, subsequent studies, e.g., Bali, Cakici, Yan,
and …
recent empirical studies, e.g., Duffee (1995), Pastor and Veronesi (2003, 2005), Agarwal,
Bharath, and Viswanathan (2004 ….K., respectively. However, unlike this paper, those
studies focus on idiosyncratic volatility of a particular country and don …