Business Commons^™

Understanding Volatility: An Analysis Of The Stock Market Return-Variance Correlation, Richard Traub

Honors Scholar Theses

This paper attempts to explain the negative correlation between stock market returns in the United States (measured by the risk premium of the S&P 500 Index) and the respective volatility of these returns. The academic research regarding two primary schools of thought on this issue, the volatility feedback effect and the leverage effect, is furthered as potential explanations for this phenomenon. A tertiary explanation relating to investor behavior is also explored as a viable cause. In order to empirically study this relationship, I examine the risk premium quintiles and the corresponding CBOE Volatility Index levels for the time-series dating from …

Foreign Investment And Equity Valuation Differences In Emerging Markets, Daniel N. Beardsley

Honors Scholar Theses

This paper will focus on emerging markets, with an emphasis on Brazil, Russia, India, and China (i.e, the BRIC countries). Specifically, I will explore foreign investment trends related to these economies.

I will also explore valuation trends for emerging market-based equities. For instance, are valuation differences between emerging market-based and developed market-based equities statistically significant? What role does country risk play in the valuation of equities based in certain emerging markets? The discussion of these topics will include the use of relevant examples and effective statistical testing.