THE DETERMINANTS OF COMMON STOCK RETURNS VOLATILITY: AN INTERNATIONAL COMPARISON

Authors

  • Kalman J. Cohen,

  • Walter L. Ness Jr.,

  • Hitoshi Okuda,

  • Robert A. Schwartz,

  • David K. Whitcomb

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    • The authors' affiliations are: Cohen, Graduate School of Business Administration, Duke University; Ness and Schwartz, Graduate School of Business Administration and Salomon Brothers Center for the Study of Financial Institutions, New York University; Okuda, Management Science Group, Nomura Research Institute; Whitcomb, Graduate School of Business Administration, Rutgers University and Salomon Brothers Center. This study was part of a larger project funded by a grant from Nomura Research Institute to the Salomon Brothers Center for the Study of Financial Institutions; additional support was provided by Duke University and by NYU.

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