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

Oleh:

Campbell, John Y. ; Lettau, Martin ; Malkiel, Burton G. ; Yexiao, Xu

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 1 (2001), page 1-42.
Topik: risks; common stock; volatility; studies; models; statistical analysis
Fulltext: p 1.pdf (852.88KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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 gross national product growth. Market volatility tends to lead the other volatility series. Factors that may be responsible for these findings are suggested.

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