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
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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Citations
Cites
Shleifer, A., & Vishny, R. W. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03807.x · Cited by 5,291
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Baker, S. R., Bloom, N., & Davis, S. J. (2016) · The Quarterly Journal of Economics · doi:10.1093/qje/qjw024 · Cited by 12,458
Equity Volatility and Corporate Bond Yields
Campbell, J. Y., & Taksler, G. B. (2003) · The Journal of Finance · doi:10.1046/j.1540-6261.2003.00607.x · Cited by 1,206
Self-citationAmbiguity, Information Quality, and Asset Pricing
EPSTEIN, L. G., & SCHNEIDER, M. (2008) · The Journal of Finance · doi:10.1111/j.1540-6261.2008.01314.x · Cited by 833
Frydman, C., & Jenter, D. (2010) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-120209-133958 · Cited by 542
Busch, T., & Friede, G. (2018) · Corporate Social Responsibility and Environmental Management · doi:10.1002/csr.1480 · Cited by 345
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
- OpenAlex
- W3121275215
- Cited by
- 2,415
- References
- 1
- FWCI
- 129.10
- Type
- journal article
- Language
- en
- Open access
- closed
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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.
