We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of...

We revisit the relationship between betas and cross-sectional asset returns, by investigating asymmetric responses of asset returns to the market portfolio return and their relationship with firm characteristics. We demonstrate that post-formation portfolios in asset pricing tests, which are...

We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of...