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Common Stock Price Volatility Measures and Patterns

Author

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  • Altman, Edward I.
  • Schwartz, Robert A.

Abstract

This study is another attempt to analyze the behavior of common stock prices. In the last decade, and even before that, literature has spewed forth an abundant supply of studies in this area, from random walkers, to optimum portfolioers, to performance measurers. Terms such as risk and return, variance and covariance, and variability and volatility proliferate journal pages and our daily conversations.

Suggested Citation

  • Altman, Edward I. & Schwartz, Robert A., 1970. "Common Stock Price Volatility Measures and Patterns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(5), pages 603-625, January.
    • Handle: RePEc:cup:jfinqa:v:4:y:1970:i:05:p:603-625_01
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    Cited by:

    1. Thuy Thi Thu Truong & Jungmu Kim, 2019. "Premiums for Non-Sustainable and Sustainable Components of Market Volatility: Evidence from the Korean Stock Market," Sustainability, MDPI, vol. 11(18), pages 1-15, September.
    2. Groh, Alexander P., 2004. "Risikoadjustierte Performance von Private Equity-Investitionen," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 21382, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    3. Benjamin Nitsche, 2018. "Unravelling the Complexity of Supply Chain Volatility Management," Logistics, MDPI, vol. 2(3), pages 1-26, August.

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