On the Long Run Volatility of Stocks

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• Carlos Carvalho
• Thursday 14 May 2015, 13:00-14:00
• Room W4.03 Judge Business School.

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In this paper we investigate whether or not the conventional wisdom that stocks are more attractive for long horizon investors hold. Taking the perspective of an investor, we evaluate the predictive variance of k-period returns for different models and prior specifications and conclude, that stocks are indeed less volatile in the long run. Part of the developments include an extension of the modeling framework to incorporate time varying volatilities and covariances in a constrained prior information set up.

Link to paper

This talk is part of the Cambridge Finance Workshop Series series.

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