| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7590 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w7590 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565143 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Martin Lettau,Burton G. Malkiel,et al. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk. 2000. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7590.pdf（922KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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