The DOI matches its Crossref record; 23 of the 23 references it cites were found in a registry or an index.
Why Did Individual Stocks Become More Volatile?*
Open accessAbstract
The fact that stocks become more volatile on average is documented by Campbell et al (2001) and Morck et al (2000) for the U.S. since 1960s. In this paper, we investigate why individual stocks become more volatile. Our inquiry focuses on the 1976-2000 period during which quarterly accounting data are available at the firm level. We report that corporate earnings have deteriorated on average and their volatility has increased over the sample period. This is more evident for newly listed stocks than for existing stocks. The stock return volatility is negatively related to the return-on-equity (scaled earnings) and positively related to the volatility of the return-on-equity in cross-sections. The upward trend in average stock return volatility is fully accounted for by the downward trend in the return-on-equity and the upward trend in the volatility of the return-on-equity. Other variables that have cross-sectional explanatory power, such as firm equity size and firm age, do not contribute to the increase of stock return over time.
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Cites
The Cross‐Section of Expected Stock Returns
FAMA, E. F., & FRENCH, K. R. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04398.x · Cited by 17,261
Risk, Return, and Equilibrium: Empirical Tests
Fama, E. F., & MacBeth, J. D. (1973) · Journal of Political Economy · doi:10.1086/260061 · Cited by 14,258
Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
Shiller, R. (1980) · National Bureau of Economic Research · doi:10.3386/w0456 · Cited by 3,986
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Campbell, J. Y., & Shiller, R. J. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.3.195 · Cited by 3,774
Why Does Stock Market Volatility Change Over Time?
SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
(1956) · Cited by 3,427
Morck, R., Yeung, B., & Yu, W. (2000) · Journal of Financial Economics · doi:10.1016/s0304-405x(00)00071-4 · Cited by 3,335
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Campbell, J., & Shiller, R. (1986) · National Bureau of Economic Research · doi:10.3386/w2100 · Cited by 2,425
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
Campbell, J. Y., Lettau, M., Malkiel, B. G., & Xu, Y. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00318 · Cited by 2,415
Contrarian Investment, Extrapolation, and Risk
Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994) · The Journal of Finance · doi:10.2307/2329262 · Cited by 1,354
Cited by
Opaque financial reports, R2, and crash risk☆
Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009) · Journal of Financial Economics · doi:10.1016/j.jfineco.2008.10.003 · Cited by 2,768
Luo, X., & Bhattacharya, C. B. (2009) · Journal of Marketing · doi:10.1509/jmkg.73.6.198 · Cited by 962
How Does Corporate Governance Affect Equity Volatility? Worldwide Evidence and Theory
Gagnon, L., & Jeanneret, A. (2025) · The Review of Corporate Finance Studies · doi:10.1093/rcfs/cfad002 · Cited by 8
Metadata
- Authors
- Wei, S. X., & Zhang, C.
- Venue
- The Journal of Business
- Publisher
- University of Chicago Press
- Published
- 2006-01
- Volume
- 79
- Issue
- 1
- Pages
- 259-292
- ISSN
- 0021-9398 (ISSN-L)
- 1537-5374
- OpenAlex
- W1970834139
- Cited by
- 381
- References
- 23
- FWCI
- 36.33
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
