Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk

• 成果类型: Article
• 署名作者: Campbell, JY; Lettau, M; Malkiel, BG; Xu, YX
• 署名单位: Harvard University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - New York; Princeton University; University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00318
• 发表日期: 2001
• 页码: 1-43
• 关键词: Market volatility; cyclical unemployment; industrial-structure; capital-markets; sectoral shifts; returns; variance; options; time; INFORMATION

摘要

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.