Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

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Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

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dc.contributor.author Malkiel, Burton
dc.contributor.author Campbell, John
dc.contributor.author Lettau, Martin
dc.contributor.author Xu, Yexiao
dc.date.accessioned 2009-07-01T14:26:50Z
dc.date.issued 2001
dc.identifier.citation Campbell, John Y., Martin Lettau, Burton G. Malkiel, and Yexiao Xu. 2001. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance 56(1): 1-43. en
dc.identifier.issn 0022-1082 en
dc.identifier.uri http://nrs.harvard.edu/urn-3:HUL.InstRepos:3128707
dc.description.abstract This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly, correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, whereas the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures move together countercyclically and help to predict GDP growth. Market volatility tends to lead the other volatility series. Factors that may be responsible for these findings are suggested. The definitive version is available at www.blackwell-synergy.com. en
dc.description.sponsorship Economics en
dc.language.iso en_US en
dc.publisher Blackwell Publishing en
dc.relation.isversionof http://dx.doi.org/10.1111/0022-1082.00318 en
dash.license LAA
dc.subject market model en
dc.subject industry volatility en
dc.subject market volatility en
dc.subject idiosyncratic volatility en
dc.subject business cycles en
dc.subject diversification en
dc.title Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk en
dc.relation.journal Journal of Finance en
dash.depositing.author Campbell, John

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  • FAS Scholarly Articles [6466]
    Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University

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