Iris2019-02-10 22:34:34

Two paths to lower stock returns resulting from higher volatility. 1.When market volatility increases, the leverage effect suggests a negative relationship between stock returns and volatility. 2.When market volatility increases, discount rates increase and stock prices decline so that future stock returns can be higher. The CAPM supports 2nd path. 这是notes里面的话，想问下老师为什么capm支持第二种说法呢？谢谢