TY  - JOUR
AU  - Campbell,John Y.
AU  - Lettau,Martin
AU  - Malkiel,Burton G.
AU  - Xu,Yexiao
TI  - Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7590
PY  - 2000
Y2  - March 2000
UR  - http://www.nber.org/papers/w7590
L1  - http://www.nber.org/papers/w7590.pdf
N1  - Author contact info:
John Y. Campbell
Morton L. and Carole S.
Olshan Professor of Economics
Department of Economics
Harvard University
Littauer Center 213
Cambridge, MA 02138
Tel: 617/496-6448
Fax: 617/495-7730
E-Mail: john_campbell@harvard.edu

Martin Lettau
Haas School of Business
University of California, Berkeley
545 Student Services Bldg. #1900
Berkeley, CA 94720-1900
Tel: 510/642-6349
Fax: 510/643-1412
E-Mail: lettau@haas.berkeley.edu

Yexiao Xu
School of Management
University of Texas at Dallas
Richardson, TX  75083
E-Mail: yexiaoxu@utdallas.edu
AB  - 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.
ER  -