| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29916 |
| 来源ID | Working Paper 29916 |
| Idiosyncratic Equity Risk Two Decades Later | |
| John Y. Campbell; Martin Lettau; Burton G. Malkiel; Yexiao Xu | |
| 发表日期 | 2022-04-11 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | This paper reviews the literature on idiosyncratic equity volatility since the publication of “Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk” in 2001. We respond to replication studies by Chiah, Gharghori, and Zhong and by Leippold and Svaton, and we present volatility estimates through the end of 2021, significantly extending the period covered in our original paper as well as the two replication studies. After spiking in the 1999- 2000 period, idiosyncratic volatility declined thereafter; but sharp increases in market, industry, and idiosyncratic volatility occurred during the global financial crisis of 2008-2009 and the COVID-19 pandemic of 2020-2021. We argue that market microstructure effects are not of first-order importance for volatility measurement, and we discuss the roles of fundamental factors and investor sentiment in driving the observed fluctuations in volatility. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; COVID-19 |
| URL | https://www.nber.org/papers/w29916 |
| 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/587589 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Martin Lettau,Burton G. Malkiel,et al. Idiosyncratic Equity Risk Two Decades Later. 2022. |
| 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 | ||
| w29916.pdf（292KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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