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Expected Growth, Required Return, and the Variability of Stock Prices

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  • Haugen, Robert A.

Abstract

Stocks differ in the variability of their prices; thus, as the level of stock market prices swings periodically, one observes a change in structure as the prices of more volatile issues change relative to those of a more stable character. Here we attempt to empirically establish some of the differentiating characteristics of these volatile issues. In doing so we add to the empirical and analytical work of Fritzemeier [4], Clendenin [2], Latané [7], Malkiel [8], and Heins and Allison [6]. Only the last of these efforts used regression techniques.

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  • Haugen, Robert A., 1970. "Expected Growth, Required Return, and the Variability of Stock Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 5(3), pages 297-307, September.
    • Handle: RePEc:cup:jfinqa:v:5:y:1970:i:03:p:297-307_01
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    1. Bessler, Wolfgang & Taushanov, Georgi & Wolff, Dominik, 2021. "Optimal asset allocation strategies for international equity portfolios: A comparison of country versus industry optimization," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).

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