Why Are U.S. Stocks More Volatile?

• 成果类型: Article
• 署名作者: Bartram, Soehnke M.; Brown, Gregory; Stulz, Rene M.
• 署名单位: University of Warwick; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; University System of Ohio; Ohio State University; University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01749.x
• 发表日期: 2012
• 页码: 1329-1370
• 关键词: risk; INFORMATION; liquidity; diversification; MARKETS; RIGHTS

摘要

U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility can be higher for reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that the volatility of U.S. firms is higher mostly because of good volatility. Specifically, stock volatility is higher in the United States because it increases with investor protection, stock market development, new patents, and firm-level investment in R&D. Each of these factors is related to better growth opportunities for firms and better ability to take advantage of these opportunities.