Qu-Qi Li

Does Higher Ex-Ante Volatility Predict Higher Subsequent Monthly Excess Returns?

This study examines whether a higher ex-ante volatility of large‑capitalization United States stocks higher monthly excess returns. By using monthly stock data for Standard & Poor's 500 (S&P 500) companies from 2015 to 2024, the study measures ex-ante volatility as the annualized standard deviation of each stock's prev...