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来源类型Working Paper
规范类型报告
DOI10.3386/w7590
来源IDWorking Paper 7590
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
John Y. Campbell; Martin Lettau; Burton G. Malkiel; Yexiao Xu
发表日期2000-03-01
出版年2000
语种英语
摘要This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1962-97 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, while 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.
主题Macroeconomics ; Business Cycles ; Financial Economics ; Financial Markets
URLhttps://www.nber.org/papers/w7590
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/565143
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John Y. Campbell,Martin Lettau,Burton G. Malkiel,et al. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk. 2000.
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