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Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
(Blackwell Publishing, 2001)
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 ...
Portfolio Diversification under Local and Moderate Deviations from Power Laws.
(Elsevier, 2008)
This paper analyzes portfolio diversification for nonlinear transformations of heavy-tailed risks. It is shown that diversification of a portfolio of convex functions of heavy-tailed risks increases the portfolio’s riskiness ...
Fight or Flight? Portfolio Rebalancing by Individual Investors
(MIT Press, 2009)
This paper investigates the dynamics of individual portfolios in a unique dataset
containing the disaggregated wealth of all households in Sweden. Between 1999
and 2002, we observe little aggregate rebalancing in the ...