Stock market volatility, excess returns, and the role of investor sentiment

2002/01/01 by Wayne Y Lee, Christine X Jiang, Christine X. Jiang +2
Economics, Econometrics and Finance · #Autoregressive conditional heteroskedasticity #Autoregressive model #Econometrics #Economics #Excess return #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Financial economics #Heteroscedasticity #Market Dynamics and Volatility #Market sentiment #Stock (firearms) #Stock market #Volatility (finance)

paper · doi:10.1016/s0378-4266(01)00202-3

openalex publication_date 2002/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29

Citations

• ARCH modeling in finance
• Distribution of the Estimators for Autoregressive Time Series with a Unit Root
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroskedasticity
• Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
• The Behavior of Stock-Market Prices
• A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1