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Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Cataloging Information

Documentation, Data and Analysis

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1. Documentation

campbelletal_jf2001.pdf
Adobe PDF - 856 KB - 15 downloads

You do not have permissions to access this file.

Restricted Access

The original article for this study, pdf format

Readme.txt
Plain Text - 1 KB - 143 downloads

Detailed information on the files used in this study, text file format

2a. Data - monthly volatility series - only 2026 largest firms

ndsig2eT.dat
Plain Text - 9 KB - 86 downloads

IND volatility based on daily returns, ASCII raw numbers file

ndsig2eT.tab
Tab Separated - 8 KB - 97 downloads + analyses

Download

IND volatility based on daily returns

426 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] ndsig2eT.tab [fileDscr/fileName (DDI)] UNF:3:7ZLKrlQ6uOt+4n0BqLGSSQ==

ndsig2nT.dat
Plain Text - 8 KB - 70 downloads

FIRM volatility based on daily returns, ASCII raw numbers file

ndsig2nT.tab
Tab Separated - 8 KB - 77 downloads + analyses

Download

FIRM volatility based on daily returns

426 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] ndsig2nT.tab [fileDscr/fileName (DDI)] UNF:3:uJJrrFOKVgYktYFdARXgVQ==

2b. Data - monthly volatility series - equally weighted

edsig2eT.dat
Plain Text - 9 KB - 71 downloads

IND volatility based on daily returns, ASCII raw numbers file

edsig2eT.tab
Tab Separated - 8 KB - 76 downloads + analyses

Download

IND volatility based on daily returns

426 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] edsig2eT.tab [fileDscr/fileName (DDI)] UNF:3:K7+xUVseagtdiC6x/eua1Q==

edsig2mt.dat
Plain Text - 9 KB - 66 downloads

MKT volatility based on daily returns, ASCII raw numbers file

edsig2mt.tab
Tab Separated - 8 KB - 73 downloads + analyses

Download

MKT volatility based on daily returns

426 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] edsig2mt.tab [fileDscr/fileName (DDI)] UNF:3:cpt/OCKVs9Ab6ANoFlwG7A==

edsig2nt.dat
Plain Text - 8 KB - 75 downloads

FIRM volatility based on daily returns, ASCII raw numbers file

edsig2nt.tab
Tab Separated - 8 KB - 67 downloads + analyses

Download

FIRM volatility based on daily returns

426 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] edsig2nt.tab [fileDscr/fileName (DDI)] UNF:3:g5BNEwqroEWmg5pjzup2XA==

2c. Data - monthly volatility series for individual industries

dsig2eit.dat
Plain Text - 547 KB - 68 downloads

IND volatility based on daily returns, ASCII raw numbers file

dsig2eit.tab
Tab Separated - 466 KB - 67 downloads + analyses

Download

IND volatility based on daily returns

20796 Cases

4 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] dsig2eit.tab [fileDscr/fileName (DDI)] UNF:3:U2GsdS6A/5/0wP9vE+IgAg==

dsig2nit.dat
Plain Text - 547 KB - 66 downloads

FIRM volatility based on daily returns, ASCII raw numbers file

dsig2nit.tab
Tab Separated - 466 KB - 64 downloads + analyses

Download

FIRM volatility based on daily returns

20796 Cases

4 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] dsig2nit.tab [fileDscr/fileName (DDI)] UNF:3:2fKcraeLvPdNAgSNu75TEA==

2d. Data - monthly volatility series - value-weighted

disg2nt.tab
Tab Separated - 8 KB - 74 downloads + analyses

Download

FIRM volatility based on daily returns

426 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] disg2nt.tab [fileDscr/fileName (DDI)] UNF:3:3ARxg9245WKgzD4xUjC+wA==

dsig2et.dat
Plain Text - 9 KB - 61 downloads

IND volatility based on daily returns, ASCII raw numbers file

dsig2et.tab
Tab Separated - 8 KB - 61 downloads + analyses

Download

IND volatility based on daily returns

426 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] dsig2et.tab [fileDscr/fileName (DDI)] UNF:3:PaKyD/TEpajigbLNB+bX8Q==

dsig2mt.dat
Plain Text - 9 KB - 60 downloads

MKT volatility based on daily returns, ASCII raw numbers file

dsig2mt.tab
Tab Separated - 8 KB - 69 downloads + analyses

Download

MKT volatility based on daily returns

426 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] dsig2mt.tab [fileDscr/fileName (DDI)] UNF:3:CsD7s3AqcIMsC5xx4YXDMQ==

dsig2nt.dat
Plain Text - 8 KB - 64 downloads

FIRM volatility based on daily returns, ASCII raw numbers file

msig2et.dat
Plain Text - 8 KB - 61 downloads

IND volatility based on monthly returns, ASCII raw numbers file

msig2et.tab
Tab Separated - 8 KB - 62 downloads + analyses

Download

IND volatility based on monthly returns

426 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] msig2et.tab [fileDscr/fileName (DDI)] UNF:3:3Mo4S47dmLPABQRb8U9Umg==

msig2nt.dat
Plain Text - 8 KB - 61 downloads

FIRM volatility based on monthly returns, ASCII raw numbers file

msig2nt.tab
Tab Separated - 8 KB - 63 downloads + analyses

Download

FIRM volatility based on monthly returns

426 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] msig2nt.tab [fileDscr/fileName (DDI)] UNF:3:8xFRt4Q5PjcP6xCwiewSig==

wsig2et.dat
Plain Text - 9 KB - 60 downloads

IND volatility based on weekly returns, ASCII raw numbers file

wsig2et.tab
Tab Separated - 8 KB - 61 downloads + analyses

Download

IND volatility based on weekly returns

426 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] wsig2et.tab [fileDscr/fileName (DDI)] UNF:3:mjtg2E5f1bPue5pNgbHgfQ==

wsig2mt.dat
Plain Text - 9 KB - 67 downloads

MKT volatility based on weekly returns, ASCII raw numbers file

wsig2mt.tab
Tab Separated - 8 KB - 61 downloads + analyses

Download

MKT volatility based on weekly returns

426 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] wsig2mt.tab [fileDscr/fileName (DDI)] UNF:3:t28WbFIpCrkEW4/qnOE6hQ==

wsig2nt.dat
Plain Text - 8 KB - 61 downloads

FIRM volatility based on weekly returns, ASCII raw numbers file

wsig2nt.tab
Tab Separated - 8 KB - 60 downloads + analyses

Download

FIRM volatility based on weekly returns

426 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] wsig2nt.tab [fileDscr/fileName (DDI)] UNF:3:B7PU39ABL2GcHwW/HumNQA==

2e. Data - quarterly volatility series

qdsig2eT.dat
Plain Text - 3 KB - 61 downloads

IND volatility based on daily returns, ASCII raw nubers file

qdsig2eT.tab
Tab Separated - 2 KB - 64 downloads + analyses

Download

IND volatility based on daily returns

142 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] qdsig2eT.tab [fileDscr/fileName (DDI)] UNF:3:Paj+jV6igi/2HrIdyOJoRQ==

qdsig2mT.dat
Plain Text - 3 KB - 63 downloads

MKT volatility based on daily returns, ASCII raw numbers file

qdsig2mT.tab
Tab Separated - 2 KB - 64 downloads + analyses

Download

MKT volatility based on daily returns

142 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] qdsig2mT.tab [fileDscr/fileName (DDI)] UNF:3:WxgkVRII3CcHqKJgma7Mlw==

qdsig2nT.dat
Plain Text - 2 KB - 63 downloads

FIRM volatility based on daily returns, ASCII raw numbers file

qdsig2nT.tab
Tab Separated - 2 KB - 67 downloads + analyses

Download

FIRM volatility based on daily returns

142 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] qdsig2nT.tab [fileDscr/fileName (DDI)] UNF:3:JOwRCceWt3mRDpXTopvl7Q==

qmsig2eT.dat
Plain Text - 3 KB - 61 downloads

IND volatility based on monthly returns, ASCII raw numbers file

qmsig2eT.tab
Tab Separated - 2 KB - 60 downloads + analyses

Download

IND volatility based on monthly returns

142 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] qmsig2eT.tab [fileDscr/fileName (DDI)] UNF:3:BNHRqM5HXuKjFIvsuCyUoQ==

qmsig2mT.dat
Plain Text - 3 KB - 60 downloads

MKT volatility based on monthly returns, ASCII raw numbers file

qmsig2mT.tab
Tab Separated - 2 KB - 60 downloads + analyses

Download

MKT volatility based on monthly returns

142 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] qmsig2mT.tab [fileDscr/fileName (DDI)] UNF:3:4adX7wzM9DX3Wd2JhPcRjA==

qmsig2nT.dat
Plain Text - 2 KB - 58 downloads

FIRM volatility based on monthly returns, ASCII raw numbers file

qmsig2nT.tab
Tab Separated - 2 KB - 60 downloads + analyses

Download

FIRM volatility based on monthly returns

142 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] qmsig2nT.tab [fileDscr/fileName (DDI)] UNF:3:74WARZ/qWtc/HKkOlL3dow==

qwsig2eT.dat
Plain Text - 3 KB - 58 downloads

IND volatility based on weekly returns, ASCII raw numbers file

qwsig2eT.tab
Tab Separated - 2 KB - 61 downloads + analyses

Download

IND volatility based on weekly returns

142 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] qwsig2eT.tab [fileDscr/fileName (DDI)] UNF:3:cnNDIKWIF4dB9jc4NSo8lw==

qwsig2mT.dat
Plain Text - 3 KB - 60 downloads

MKT volatility based on weekly returns, ASCII raw numbers file

qwsig2mT.tab
Tab Separated - 2 KB - 60 downloads + analyses

Download

MKT volatility based on weekly returns

142 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] qwsig2mT.tab [fileDscr/fileName (DDI)] UNF:3:pnwmicB8helOjyLTS1KcmA==

qwsig2nT.dat
Plain Text - 2 KB - 60 downloads

FIRM volatility based on weekly returns, ASCII raw numbers file

qwsig2nT.tab
Tab Separated - 2 KB - 60 downloads + analyses

Download

FIRM volatility based on weekly returns

142 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao , 2007, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", hdl:1902.1/DLNOJSGTIA UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== Murray Research Archive [Distributor] qwsig2nT.tab [fileDscr/fileName (DDI)] UNF:3:03znFyLp3BBN+0VXu2Qlbg==

3. Detailed Usage Terms

John Y. Campbell-Data PASS Deposit Agreement.pdf
Adobe PDF - 169 KB - 55 downloads

Legal agreement between the data depositor and the Murray Archive

Harvard

© 2007 by the President and Fellows of Harvard College

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