The Relation between Expected Returns and Volatility in the Brazilian Stock Market

The Relation between Expected Returns and Volatility in the Brazilian Stock Market

dc.creatorAvelino, Ricardo R. G.
dc.date2011-03-04
dc.date.accessioned2022-11-03T21:19:16Z
dc.date.available2022-11-03T21:19:16Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3895
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5048011
dc.descriptionThis paper applies the Markov switching regression model of stock returns with volatility feedback of Turner, Startz and Nelson (1989), suitably extended to incorporate endogenous regime shifts, as in Kim, Piger and Startz (2008), to examine the intertemporal relationship between the risk premium and volatility in the Brazilian stock market over the period 1995-2011. The results suggest that there is a positive relationship between the risk premium and the expected volatility once the volatility feedback effect is taken into account. Unanticipated increases in volatility, in contrast, have a negative impact on the risk premium. This negative impact increasesby 50% when I account for endogeneity of regime shifts.en-US
dc.descriptionThis paper applies the Markov switching regression model of stock returns with volatility feedback of Turner, Startz and Nelson (1989), suitably extended to incorporate endogenous regime shifts, as in Kim, Piger and Startz (2008), to examine the intertemporal relationship between the risk premium and volatility in the Brazilian stock market over the period 1995-2011. The results suggest that there is a positive relationship between the risk premium and the expected volatility once the volatility feedback effect is taken into account. Unanticipated increases in volatility, in contrast, have a negative impact on the risk premium. This negative impact increasesby 50% when I account for endogeneity of regime shifts.pt-BR
dc.formatapplication/pdf
dc.languageeng
dc.publisherSociedade Brasileira de Econometriaen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3895/2403
dc.sourceBrazilian Review of Econometrics; Vol. 31 No. 1 (2011); 45-68en-US
dc.sourceBrazilian Review of Econometrics; v. 31 n. 1 (2011); 45-68pt-BR
dc.source1980-2447
dc.subjectRisk premiumen-US
dc.subjectMarkov switchingen-US
dc.subjectendogenous regime shiftsen-US
dc.subjectvolatility feedback.en-US
dc.subjectC13en-US
dc.subjectC34en-US
dc.subjectG10en-US
dc.subjectRisk premiumpt-BR
dc.subjectMarkov switchingpt-BR
dc.subjectendogenous regime shiftspt-BR
dc.subjectvolatility feedback.pt-BR
dc.titleThe Relation between Expected Returns and Volatility in the Brazilian Stock Marketen-US
dc.titleThe Relation between Expected Returns and Volatility in the Brazilian Stock Marketpt-BR
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion


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