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Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition
Open accessAbstract
Over the past 40 years, the volatility of the average stock return has drastically outpaced total market volatility. Thus, idiosyncratic return volatility has dramatically increased. We estimate this increase to be 6% per year. Consistent with an efficient market, this result is mirrored by an increase in the idiosyncratic volatility of fundamental cash flows. We argue that these findings are attributable to the more intense economy-wide competition. Various cross-sectional and time-series tests support this idea. Economic competitiveness facilitates reinterpretation of the results from the cross-country R2 literature, as well as the US idiosyncratic risk literature.
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Cites
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Cited by
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FRESARD, L. (2010) · The Journal of Finance · doi:10.1111/j.1540-6261.2010.01562.x · Cited by 937
Are US Industries Becoming More Concentrated?
Grullon, G., Larkin, Y., & Michaely, R. (2019) · Review of Finance · doi:10.1093/rof/rfz007 · Cited by 678
Why Do U.S. Firms Hold So Much More Cash Than They Used To?
Bates, T., Kahle, K., & Stulz, R. (2006) · National Bureau of Economic Research · doi:10.3386/w12534 · Cited by 367
Why have measures of earnings quality changed over time?
Srivastava, A. (2014) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2014.04.001 · Cited by 320
Product Market Power and Tax Avoidance: Market Leaders, Mimicking Strategies, and Stock Returns
Kubick, T. R., Lynch, D., Mayberry, M. A., & Omer, T. C. (2013) · SSRN Electronic Journal · doi:10.2139/ssrn.2215924 · Cited by 269
Metadata
- Authors
- Irvine, P. J., & Pontiff, J.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2008-04-15
- Volume
- 22
- Issue
- 3
- Pages
- 1149-1177
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W1972551475
- Cited by
- 717
- References
- 1
- FWCI
- 45.49
- 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.
