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Expected stock returns and volatility

Kenneth R. French, G.William Schwert, Robert F. Stambaugh

Journal of Financial Economics, 1987. DOI 10.1016/0304-405x(87)90026-2

Has this study been replicated?

The atlas records 1 replication of this study. Recorded outcomes: 1 successful.

Replications

• A New Look at Expected Stock Returns and Volatility, Robins & Smith (2023). Outcome recorded: successful. After careful replication, we confirm that the main results in FSS hold and continue to hold through 2019. View paper

Other studies in the atlas

• A New Look at Expected Stock Returns and Volatility
• Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Ri…
• Has Idiosyncratic Volatility Increased? Not in Recent Times
• A Contribution to the Empirics of Economic Growth
• Revisiting the Mankiw et al. (1992) growth regressions
• Time-varying instrumental variable estimation

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