Hostname: page-component-78c5997874-94fs2 Total loading time: 0 Render date: 2024-11-15T14:50:49.536Z Has data issue: false hasContentIssue false
  • English
  • Français

Common Stock Price Volatility Measures and Patterns

Published online by Cambridge University Press:  19 October 2009

Edward I. Altman  and
Robert A. Schwartz
Get access Rights & Permissions [Opens in a new window]

Extract

This study is another attempt to analyze the behavior of common stock prices. In the last decade, and even before that, literature has spewed forth an abundant supply of studies in this area, from random walkers, to optimum portfolioers, to performance measurers. Terms such as risk and return, variance and covariance, and variability and volatility proliferate journal pages and our daily conversations.

Type
Security Analysis
Information
Journal of Financial and Quantitative Analysis , Volume 4 , Issue 5 , January 1970 , pp. 603 - 625
Copyright
Copyright © School of Business Administration, University of Washington 1970

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Blume, Marshall E., “The Assessment of Portfolio Performance: An Application of Portfolio Theory” (Ph.D. diss., University of Chicago, March, 1968).Google Scholar
[2]Cootner, Paul H., ed., The Random Character of Stock Market Prices (Cambridge, Massachusetts: MIT Press, 1964).Google Scholar
[3]Cragg, John G., and Malkiel, Bruton G., “The Consensus and Accuracy of Some Predictions of the Growth of Corporate Earnings”, Journal of Finance (March 1968), pp. 67–84.CrossRefGoogle Scholar
[4]Duncan, Acheson J., Quality Control and Industrial Statistics, 3rd ed. (Homewood, Illinois: Irwin, 1965).Google Scholar
[5]Elton, Edwin J., and Gruber, Martin J., “Prediction and Market Evaluation of Growth,” Working Paper (New York University Graduate School of Business, 1969).Google Scholar
[6]Fama, E. et al. , “The Adjustment of Stock Prices to New Information,” International Economic Review (February 1969), pp. 1–21.CrossRefGoogle Scholar
[7]Fanning, James, and Steglitz, Marc, paper delivered at the University of Chicago, 1966.Google Scholar
[8]Friend, Irwin, and Blume, Marshall, “Measurement of Portfolio Performance Under Uncertainty,” American Economic Review (forthcoming).Google Scholar
[9]Heins, A. J., and Allison, S. L., “Some Factors Affecting Stock Price Variability,” Journal of Business (January 1966), pp. 19–23.CrossRefGoogle Scholar
[10]Jensen, Michael C., “The Performance of Mutual Funds in the Period 1945– 1964,” Journal of Finance (May 1968), pp. 389–416.CrossRefGoogle Scholar
[11]King, Benjamin F., “Market and Industry Factors in Stock Price Behavior,” Journal of Business (January 1966), pp. 139–190.CrossRefGoogle Scholar
[12]Sharpe, William F., “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk,” Journal of Finance (September 1964), pp. 425–442.CrossRefGoogle Scholar
[13]Sharpe, William F., “Mutual Fund Performance,” Journal of Business (January 1966), pp. 119–138.CrossRefGoogle Scholar
[14]Siegel, Sidney, Nonparametric Statistics for the Behavioral Sciences (New York: McGraw-Hill, 1956).Google Scholar
[15]Treynor, Jack L., “How to Rate Management of Investment Funds,” Harvard Business Review (January–February 1965), pp. 63–75.Google Scholar
[16]Treynor, Jack L. et al. “Using Portfolio Composition to Estimate Risk,” Financial Analysts Journal (September–October 1968), pp. 93–102.CrossRefGoogle Scholar