Hardouvelis, Gikas A; Pericli, Andreas; Theodossiou, … - C.E.P.R. Discussion Papers - 1997
EGARCH-M models based on a daily, weekly, and monthly S&P–500 returns over the period October 1934–September 1994 reveal that higher margins have a much stronger negative relation to subsequent volatility in bull markets than in bear markets. Higher margins are also negatively related to...
