Investigating the Behavior of Idiosyncratic Volatility*
Year: 2003
Type: article
Abstract: This paper studies the behavior of idiosyncratic volatility for the post war period. Using aggregate idiosyncratic volatility statistics constructed from the Fama and French (1993) three-factor model, we find that the volatility of individual stocks appears to have increased over time. This trend is not solely attributed to the increasing prominence of the NASDAQ market. We go on to suggest that the idiosyncratic volatility of individual stocks is associated with the degree to which their shares are owned by financial institutions. Finally, we show that idiosyncratic volatility is also positively related to expected earning growth.
Source: The Journal of Business
DOI: 10.1086/377033
Authors: Yexiao Xu, Burton G. Malkiel
Institutions: The University of Texas at Dallas, Princeton University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Funder: Princeton University
OpenAlex ID: W3125210501