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Are Stocks Really Less Volatile in the Long Run?

  1. ĽUBOŠ PÁSTOR,
  2. ROBERT F. STAMBAUGH*

Article first published online: 27 MAR 2012

DOI: 10.1111/j.1540-6261.2012.01722.x

Issue

The Journal of Finance

The Journal of Finance

Volume 67, Issue 2, pages 431–478, April 2012

Additional Information

How to Cite

PÁSTOR, Ľ. and STAMBAUGH, R. F. (2012), Are Stocks Really Less Volatile in the Long Run?. The Journal of Finance, 67: 431–478. doi: 10.1111/j.1540-6261.2012.01722.x

Author Information

* Pástor is at the University of Chicago Booth School of Business, NBER, and CEPR. Stambaugh is at the Wharton School of the University of Pennsylvania and NBER. We are grateful for comments from John Campbell, Peter Christoffersen, Darrell Duffie, Gene Fama, Wayne Ferson, Michael Halling, Cam Harvey, Anthony Lynch, Matt Richardson, Jeremy Siegel, Georgios Skoulakis, Pietro Veronesi, Luis Viceira, Rob Vishny, an Associate Editor, two anonymous referees, workshop participants at the following universities: Amsterdam, Berkeley, Chicago, Columbia, Comenius, Cornell, Erasmus, George Mason, Louisiana State, Princeton, Stanford, Tilburg, UCLA, USC, Warwick, Washington, Pennsylvania, WU Wien, and Yale, and participants in the following conferences: 2010 AFA, 2009 WFA, 2009 EFA, 2009 NBER Summer Institute, 2009 Gerzensee, 2010 Chicago Booth Management Conference, 2010 Q Group, CFA Institute of Chicago, and the 2009 Symposium on Quantitative Methods in Finance at the University of Texas at Austin. We also gratefully acknowledge research support from the Q Group, and we thank Hyun Paul Lee for helpful research assistance.

Publication History

  1. Issue published online: 27 MAR 2012
  2. Article first published online: 27 MAR 2012

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