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Understanding Stock Return Volatility Emilio Osambela

We find that trusting individuals are significantly more likely to buy stocks and risky assets and, conditional on investing in stock, they invest a larger share of their wealth in it. This effect is economically very important: trusting others increases the probability of buying stock by 50% of the average sample probability and raises the share invested in stock by 3.4 percentage points (15.5% of the sample mean). These results are robust to controlling for differences in risk aversion and ambiguity aversion. We capture these differences by asking people their willingness to pay for a purely risky lottery and an ambiguous lottery. We then use these responses. | Fundamentals and Stock Returns in Japan Louis K.C. Chan Yasushi Hamao and Josef Lakonishok Working Paper No. 45 Louis Chan and Josef Lakonishok are from the College of Commerce and Business Administration University of Illinois at Urbana-Champaign. Yasushi Hamao is from the Graduate School of International Relations and Pacific Studies University of California San Diego. The article has been presented at Purdue University the University of California at Irvine the Stockholm School of Economics the London Business School INSEAD the CRSP Seminar on the Analysis of Security Prices at Chicago and the Berkeley Program in Finance in Tokyo. The authors appreciate helpful comments by Bill Bryan Nai-Fu Chen Don Keim Claudio Loderer Jay Ritter Dennis Sheehan Neal Staughton and Yuk Tse and are grateful to Takeo Hoshi and Bing Yeh for their help with data collection and to Brian Bielinski for research assistance. Working Paper Series Center on Japanese Economy and Business Graduate School of Business Columbia University May 1990 Abstract This paper relates cross-sectional deferences in returns on Japanese stocks to the underlying behavior of four fundamental variables earnings yield size book to market ratio and cash flow yield. Alternative statistical specifications and various estimation methods are applied to a comprehensive high-quality data set that extends from 1971 to 1988. The sample includes both manufacturing and non-manufacturing firms companies from both sections of the Tokyo Stock Exchange and also delisted securities. Our findings reveal a significant relationship between fundamental variables and expected returns in the Japanese market. Of the four fundamental variables considered the book to market ratio and cash flow yield have the most significant positive impact on expected returns. The Japanese and the U.S. equity markets are by far the two largest in the world. As of March 1990 the two markets together accounted for 67 percent of the world s stock .