Time-varying volatilities and stock market returns international evidence

Abstract

Prior research generally measures a stock's risk as covariability between the nock returns and an appropriately defined hedging portfolio. Take Black, Jensen and Scholes (1972), and Fama and MacBeth(1973) for CAPM, Roll and Rosa(1980) APT for typical examples. A feature common to these class of financial models is audied through cross-sectional relations between expected stock return and risk.