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Why Did Individual Stocks Become More Volatile
| Content Provider | Semantic Scholar |
|---|---|
| Author | Wei, Steven X. Zhang, Chu |
| Copyright Year | 2003 |
| Abstract | We investigate why individual stocks become more volatile over the 1976–2000 period, during which quarterly accounting data are available at the firm level. On average, corporate earnings have deteriorated and their volatilities have increased over the sample period. This is more evident for newly listed stocks than for existing stocks. The stock return volatility is negatively related to the return-on-equity and positively related to the volatility of the return-on-equity in cross-sections. The upward trend in average stock return volatility is fully accounted for by the downward trend in the return-on-equity and the upward trend in the volatility of the return-on-equity. |
| Starting Page | 259 |
| Ending Page | 292 |
| Page Count | 34 |
| File Format | PDF HTM / HTML |
| DOI | 10.1086/497411 |
| Alternate Webpage(s) | http://wwwdocs.fce.unsw.edu.au/banking/seminar/2002/stevenwei.pdf |
| Alternate Webpage(s) | http://banking.web.unsw.edu.au/seminar/2002/stevenwei.pdf |
| Alternate Webpage(s) | https://doi.org/10.1086/497411 |
| Volume Number | 79 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
