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

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

doi:10.1111/0022-1082.00318

Public

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

Published in The Journal of Finance • Feb 1, 2001

Authors:

John Y. Campbell

Martin Lettau

Burton G. Malkiel

Abstract

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 individu...

Subject

Volatility (finance)

Diversification (marketing strategy)

Economics

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