VARIANCE, RETURN, AND HIGH‐LOW PRICE SPREADS

Ji-chai Lin, Michael S. Rozeff

Research output: Journal article publicationJournal articleAcademic researchpeer-review

8 Citations (Scopus)

Abstract

We report three new findings that rely upon the high‐low price range as an estimate of stock return variance. The predictability of variance is associated with persistence in high prices and with correlated shocks to high and low prices. Excess stock returns are positively related to anticipated variance and inversely related to unanticipated variance. Lagged squared residuals in GARCH(1,1) models have no incremental explanatory power in the presence of forecasts of conditional volatility generated from high‐low price spread models.
Original languageEnglish
Pages (from-to)301-319
Number of pages19
JournalJournal of Financial Research
Volume17
Issue number3
DOIs
Publication statusPublished - 1 Jan 1994
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance

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