|
HKUST Institutional Repository >
Finance >
FINA Journal/Magazine Articles >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/1783.1/2647
|
| Title: | Why did individual stocks become more volatile? |
| Authors: | Wei, Steven X.
Zhang, Chu |
| Keywords: | Stocks
Volatility
Stock return
Corporate earnings |
| Issue Date: | Jan-2006 |
| Citation: | Journal of business, vol. 79, no. 1, 2006, p. 259-292 |
| 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. |
| Rights: | 'Journal of Business © 2006 by University of Chicago' A link to the journal's home page or the journal article should also be included. |
| URI: | http://hdl.handle.net/1783.1/2647 |
| Appears in Collections: | FINA Journal/Magazine Articles
|
Files in This Item:
| File |
Description |
Size | Format |
|---|
| Trend4jb.pdf | pre-published version | 328Kb | Adobe PDF | View/Open |
|
Find published version via |
All items in this Repository are protected by copyright, with all rights reserved.
|
