Empirical analysis predicts long-term stock return volatility, suggesting implications for accounting and valuations of equity derivatives.
Examines empirically the prediction of long-term stock return volatility. Using historical volatility to predict five-year monthly volatility; Constructing a forecast based on historical volatilities of comparable films; Forming a shrinkage forecast by adjusting a historical forecast toward a comparable-firms forecast.
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Alford et al. (1995) studied this question.
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