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Cited by 2,415

The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Campbell, John Y., Lettau, Martin, Malkiel, Burton G., Xu, Yexiao·2001·The Journal of Finance
DOI 10.1111/0022-1082.00318
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Abstract

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.

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Metadata

Authors
Campbell, J. Y., Lettau, M., Malkiel, B. G., & Xu, Y.
Venue
The Journal of Finance
Publisher
Wiley
Published
2001-02
Volume
56
Issue
1
Pages
1-43
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/0022-1082.00318
OpenAlex
W3121275215
Cited by
2,415
References
1
FWCI
129.10
Type
journal article
Language
en
Open access
closed

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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.