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SUMMARY:On the Long Run Volatility of Stocks - Carlos Carvalho
DTSTART:20150514T120000Z
DTEND:20150514T130000Z
UID:TALK53988@talks.cam.ac.uk
CONTACT:Cerf Admin
DESCRIPTION:In this paper we investigate whether or not the conventional w
 isdom that stocks are more attractive for long horizon investors hold. Tak
 ing the perspective of an investor\, we evaluate the predictive variance o
 f k-period returns for different models and prior specifications and concl
 ude\, that stocks are indeed less volatile in the long run. Part of the de
 velopments include an extension of the modeling framework to incorporate t
 ime varying volatilities and covariances in a constrained prior informatio
 n set up.\n\n"Link to paper":http://faculty.mccombs.utexas.edu/carlos.carv
 alho/OnLongRunVariance.pdf\n
LOCATION:Room W4.03 Judge Business School
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