Guo, Hui (contributor); Savickas, Robert (contributor) - 2003 - [Elektronische Ressource]
volatility analyzed by Goyal and Santa-Clara
(GS, 2003) forecasts stock returns because of its co-movements with stock market … volatility.
Moreover, contrary to the positive relation hypothesized by GS and many others, we find that the
value …-weighted average stock volatility is negatively related to future stock returns when
combined with stock market volatility. This …