IDEAS home Printed from https://ideas.repec.org/a/bla/ecnote/v43y2014i1p1-19.html
   My bibliography  Save this article

How Much Does the Stock Market Risk Decline with the Investment Horizon? A Cross-Country Comparison

Author

Listed:
  • Carlo A. Favero
  • Federico Nucera

Abstract

type="main" xml:lang="en"> We perform a cross-country comparison of stock market risk. Stock market risk is defined as the standard deviation of cumulative stock market returns. We model stock market returns in a VAR(1) system jointly with bond returns and a set of predictive variables. Our results provide evidence of a strong negative horizon effect for US stock market returns and a weak negative horizon effect for Germany and France. When an open economy VAR(1) is considered, we find that stock market risk increases for the United States and Germany, while the evidence for France is mixed.

Suggested Citation

  • Carlo A. Favero & Federico Nucera, 2014. "How Much Does the Stock Market Risk Decline with the Investment Horizon? A Cross-Country Comparison," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 1-19, February.
    • Handle: RePEc:bla:ecnote:v:43:y:2014:i:1:p:1-19
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Laimutė Urbšienė & Andrius Bugajevas & Marekas Pipiras, 2016. "The Impact Of Investment Horizon On The Return And Risk Of Investments In Securities In Lithuania," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 7(2).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:ecnote:v:43:y:2014:i:1:p:1-19. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0391-5026 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.