G
G. William Schwert
Researcher at National Bureau of Economic Research
Publications - 88
Citations - 30316
G. William Schwert is an academic researcher from National Bureau of Economic Research. The author has contributed to research in topics: Volatility (finance) & Stock (geology). The author has an hindex of 56, co-authored 88 publications receiving 29234 citations. Previous affiliations of G. William Schwert include University of Rochester & Saint Petersburg State University.
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Expected stock returns and volatility
TL;DR: In this article, the authors examined the relation between stock returns and stock market volatility and found that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns.
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Why Does Stock Market Volatility Change Over Time
TL;DR: The authors analyzes the relation of stock volatility with real and nominal macroeconomic volatility, economic activity, financial leverage, and stock trading activity using monthly data from 1857 to 1987, finding that stock return variability was unusually high during the 1929-1939 Great Depression.
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Asset returns and inflation
TL;DR: In this article, the authors estimate the extent to which various assets were hedges against the expected and unexpected components of the inflation rate during the 1953-1971 period and find that U.S. government bonds and bills were a complete hedge against expected inflation, and private residential real estate was a complete hedging against both expected and expected inflation.
Posted Content
Tests for Unit Roots: a Monte Carlo Investigation
TL;DR: In particular, the tests developed by Phillips and Perron (1988) seem more sensitive to model misspeciflcation than the high order autoregressive approximation suggested by Said and Diekey(1984) as mentioned in this paper.
Posted Content
Alternative Models for Conditional Stock Volatility
TL;DR: In this article, the authors compare several statistical models for monthly stock return volatility, focusing on U.S. data from 1834-19:5 and post-1926 data.