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1、THEUNIVERSITYOFCHICAGOSTOCHASTICVOLATILITYANDSTOCKSRETURNS:EVIDENCEFROMMICROSTRUCTUREDATAADISSERTATIONSUBMITTEDTOTHEFACULTYOFTHEGRADUATESCHOOLOFBUSINESSINCANDIDACYFORTHEDEGREEOFDOCTOROFPHILOSOPHYBYELENA-CLAUDIAMOISECHICAGO,ILLINOISJUNE2006Reproducedwithpermissionofthe
2、copyrightowner.Furtherreproductionprohibitedwithoutpermission.UMINumber:3219557INFORMATIONTOUSERSThequalityofthisreproductionisdependentuponthequalityofthecopysubmitted.Brokenorindistinctprint,coloredorpoorqualityillustrationsandphotographs,printbleed-through,substand
3、ardmargins,andimproperalignmentcanadverselyaffectreproduction.Intheunlikelyeventthattheauthordidnotsendacompletemanuscriptandtherearemissingpages,thesewillbenoted.Also,ifunauthorizedcopyrightmaterialhadtoberemoved,anotewillindicatethedeletion.UMI®UMIMicroform3219557Co
4、pyright2006byProQuestInformationandLearningCompany.Allrightsreserved.ThismicroformeditionisprotectedagainstunauthorizedcopyingunderTitle17,UnitedStatesCode.ProQuestInformationandLearningCompany300NorthZeebRoadP.O.Box1346AnnArbor,Ml48106-1346Reproducedwithpermissionoft
5、hecopyrightowner.Furtherreproductionprohibitedwithoutpermission.ToMyParents,MariaandNicolaeReproducedwithpermissionofthecopyrightowner.Furtherreproductionprohibitedwithoutpermission.ABSTRACTChapter1showsthatinvestors’concernsaboutsystematicvolatilityrisk(adistressprox
6、y)canexplainsomeofthesmallfirmpremiainthelongrun.UsingasampleofreturnsspanningtheperiodJanuary1927-December2005,wedocumentastatisticallysignificantnegativepriceforvolatilityrisk.Thisfindingindicatesa“flighttoquality”:duringrecessions,investorsshifttheirpreferencesaway
7、fromsmallfirms,whichareconsideredasbeingrelativelydistressed.Instead,theyuselarge,“quality”stockswhichco-varypositivelywithinnovationsinvolatility,andthereforepayoffduringbadeconomictimes,whenvolatilityismorevolatileandmarketreturnsarelower.Thisleadstohigherpricesandl
8、oweraveragereturnsforlargestocks.Wefindevidencethatgrowthstocksareofhedgingvaluetoinvestors,too.Wedocumentavolatilitypremium
