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On the Long Run Volatility of Stocks

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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.

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

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Cavendish Laboratory, Pippard Lecture Theatre & TEAMS FW11, William Gates Building. Zoom link: https://cl-cam-ac-uk.zoom.us/j/4361570789?pwd=Nkl2T3ZLaTZwRm05bzRTOUUxY3Q4QT09&from=addon Seminar Room, Henry Wellcome Building & on Zoom -https://zoom.us/meeting/register/tJEkcuCtrTwoG9I1M856dIPOpwYUO3q4WdIv

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