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Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A==
Version: 1 – Released: Mon Apr 07 13:00:53 EDT 2008
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Original Publication
Results found in this publication can be replicated using these data.
Campbell, John Y., 2001, "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43: article available here
Data Citation Details
Study Global IDhdl:1902.1/DLNOJSGTIA
AuthorsJohn Y. Campbell (Harvard University); Lettau Martin; Malkiel Burton ; Xu Yexiao
ProducerJohn Y. Campbell
Production Date2007
DistributorMurray Research Archive Logo
Distributor Contactmra_support@help.hmdc.harvard.edu
Distribution Date2007
Deposit DateJune, 2007
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Abstract and Scope
Abstract

This study 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 individual stocks and the explanatory power of the market model for a typical stock have declined, whereas 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. Copyright The American Finance Association 2001.

KeywordsVolatility; Market volatility; Firm-level volatility; Industry volatility; GDP growth
Topic ClassificationContributed; Economics; John Campbell; Economic theory (LCSH); Replication
Related PublicationsJohn Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc. related research
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Number of Files 51
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NotesDATAPASS:TERMS:STANDARD:1.0 (STANDARD DEPOSIT TERMS 1.0) This study was deposited under the of the Data-PASS standard deposit terms. A copy of the usage agreement is included in the file section of this study.