Contrasting Trends in Firm Volatility

• 成果类型: Article
• 署名作者: Thesmar, David; Thoenig, Mathias
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; University of Lausanne
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.3.4.143
• 发表日期: 2011
• 页码: 143-180
• 关键词: equity premium; RISK; MARKET; TRADE; diversification; aggregate; returns; GROWTH

摘要

Over the past decades, the real and financial volatility of listed firms has increased, while the volatility of private firms has decreased. We first provide panel data evidence that, at the firm level, sales and employment volatility are impacted by changes in the degree of ownership concentration. We then construct a model with private and listed firms where risk-taking is a choice variable at the firm-level. Due to general equilibrium feedback, we find that both an increase in stock market participation and integration in international capital markets generate opposite trends in volatility for private and listed firms. (JEL G15, G32, L25)