The formation of stock return volatility expectations after the 1987 stock market crash

Haim Levy; James Yoder

doi:10.1016/0165-1765(91)90016-E

The formation of stock return volatility expectations after the 1987 stock market crash

Haim Levy^*, James Yoder

^*Corresponding author for this work

BA Business Department

Research output: Contribution to journal › Article › peer-review

Abstract

This paper examines the formation of expectations regarding stock return volatility after the 1987 stock market crash. Immediately after the crash, single day returns provided crucial information for the formation of investor expectations regarding stock variances. However, their importance rapidly diminished as the market stabilized. Evidence is presented that positive and negative deviations from the mean return do not have similar effects on investor expectations of the variance.

Original language	English
Pages (from-to)	441-444
Number of pages	4
Journal	Economics Letters
Volume	35
Issue number	4
DOIs	https://doi.org/10.1016/0165-1765(91)90016-E
State	Published - Apr 1991

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The formation of stock return volatility expectations after the 1987 stock market crash

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