@techreport{NBERw7144,
 title = "Dispersion and Volatility in Stock Returns:  An Empirical Investigation",
 author = "John Y. Campbell and Martin Lettau",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "7144",
 year = "1999",
 month = "May",
 URL = "http://www.nber.org/papers/w7144",
 abstract = {This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios, relative to the market, within the month; and the dispersion of daily returns on individual firms, relative to their industries, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility.  All the volatility measures move together in a countercyclical fashion. While market volatility tends to lead the other volatility series, industry-level volatility is a particularly important leading indicator for the business cycle.},
}