The Changing Nature of Stock and Bond Volatility
Year: 2004
Type: article
Abstract: This article examines the changing nature of U.S. stock and bond risk from 1871 through 2000 and the implications for asset allocation. Using geometric means and standard deviations, we examine nominal and inflation-adjusted monthly returns over nonoverlapping 5-year periods, as well as annual returns over periods of approximately 25 years, and we document how stock and bond volatility changed over the period. Our analysis suggests that the relative change in the volatility of stocks and volatility of bonds over the past 50 years has increased the importance of stocks in asset allocation. The change is even more pronounced when inflation is considered.
Source: Financial Analysts Journal
Authors: Charles P. Jones, Jack W. Wilson
Institution: North Carolina State University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2113099733