Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/21102
Title: Why did individual stocks become more volatile?
Authors: Wei, SX 
Zhang, C
Issue Date: 2006
Publisher: Univ Chicago Press
Source: Journal of business, 2006, v. 79, no. 1, p. 259-292 How to cite?
Journal: Journal of Business 
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.
URI: http://hdl.handle.net/10397/21102
ISSN: 0021-9398
DOI: 10.1086/497411
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