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

@article{citeulike:4888829, abstract = {This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1962-97 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, while 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.}, author = {Campbell, John Y. and Lettau, Martin and Malkiel, Burton G. and Xu, Yexiao}, citeulike-article-id = {4888829}, citeulike-linkout-0 = {http://ssrn.com/abstract=211428}, citeulike-linkout-1 = {http://papers.ssrn.com/sol3/Delivery.cfm/000216304.pdf?abstractid=211428&mirid=1}, day = {25}, journal = {The Journal of Fiance}, keywords = {fx}, month = {February}, pages = {1--43}, posted-at = {2009-06-18 07:46:19}, priority = {2}, publisher = {SSRN}, title = {Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk}, url = {http://ssrn.com/abstract=211428}, volume = {56}, year = {2001} }

TY - JOUR ID - citeulike:4888829 L3 - citeulike-article-id:4888829 N2 - This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1962-97 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, while 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. JF - The Journal of Fiance EP - 43 TI - Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk PB - SSRN VL - 56 SP - 1 KW - fx AU - Campbell, John AU - Lettau, Martin AU - Malkiel, Burton AU - Xu, Yexiao PY - 2001/February/25/ UR - http://ssrn.com/abstract=211428 ER -