Predicting Long-Term Stock Return Volatility: Implications for Accounting and Valuations of Equity Derivatives.
The Accounting Review
1995
Abstract Examines empirically the prediction of long-term stock return volatility. Using historical volatility to predict five-year monthly volatility; Constructing a forecast based on historical volatilities of comparable films; Forming a shrinkage forecast by adjusting a historical forecast toward a comparable-firms forecast.
- DOI
- 10.2308/tar-9512014359
- Volume
- 70 (4)
- Pages
- 599-618
- Language
- en
- Export
- BibTeX
- Sources
- openalex crossref