Stock returns and volatility: a firm level analysis

Abstract

In this paper has been examined the relation between stock returns and volatility of these stock returns as far as individual firms are concerned. Also, it has been examined this relation for firms in both a mature and an emerging financial market, Japan and Korea respectively. The model that I has been used, in order to come to some conclusions, was Duffee’s proposed method (1995). The results have been confirmed as for the strong positive contemporaneous relation between firm stock returns and stock return volatility. Also, they have been drowned interesting conclusions about firm stocks listed on different indices of market capitalization.