caa a22 4500 378876880 CHVBK 20180305123422.0 cr unu---uuuuu 161128e20030311xx s 000 0 eng 10.2202/1558-3708.1109 doi (NATIONALLICENCE)gruyter-10.2202/1558-3708.1109 Nam Kiseok 1University of Texas-Pan American, knam@panam.edu The Asymmetric Reverting Property of Stock Returns [Elektronische Daten] [Kiseok Nam] Using asymmetric nonlinear smooth-transition GARCH(M) models for the period of 1926:01 - 1997:12, this paper shows that monthly excess returns on value-weighted market indexes exhibit a strong asymmetric reverting pattern; a negative return reverts more quickly, with a greater reverting magnitude, to positive returns, than do positive returns revert to negative returns. This paper also reveals that the relationship between future volatility and its risk premium is surprisingly negative when a negative return shock has been realized. The observed asymmetry in return dynamics is directly associated with a reduction in risk premium following a negative return shock. The reduction in risk premium causes not only the current stock price to rise but also the realized negative return to revert faster. ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston Studies in Nonlinear Dynamics & Econometrics De Gruyter 6/4(2003-03-11) 6:4 2003 6 snde https://doi.org/10.2202/1558-3708.1109 text/html Onlinezugriff via DOI 1 research article jats NATIONALLICENCE 856 40 https://doi.org/10.2202/1558-3708.1109 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Nam Kiseok 1University of Texas-Pan American, knam@panam.edu NATIONALLICENCE 773 0- Studies in Nonlinear Dynamics & Econometrics De Gruyter 6/4(2003-03-11) 6:4 2003 6 snde CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-gruyter