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

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.

本研究采用分解分析法，从市场、行业与公司三个层面考察普通股的股价波动率。在1962年至1997年的研究周期内，相较于市场层面波动率，公司层面的股价波动率呈现显著上升趋势。据此，个股间的相关性以及市场模型对单只典型个股的解释力均有所下降，而实现既定分散化投资水平所需的个股数量则有所增加。所有波动率指标均呈逆周期联动特征，且可用于预测GDP增速。市场层面波动率通常领先于其他层面的波动序列。本文还提出了可解释上述研究结论的潜在影响因素。© 美国金融学会（American Finance Association）2001年版权所有。