1 option
Dispersion and Volatility in Stock Returns: An Empirical Investigation / John Y. Campbell, Martin Lettau.
- Format:
- Book
- Author/Creator:
- Campbell, John Y.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w7144.
- NBER working paper series no. w7144
- Language:
- English
- Subjects (All):
- Stock exchanges--Econometric models.
- Stock exchanges.
- Capital market--Econometric models.
- Capital market.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Dispersion and Volatility in Stock Returns
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1999.
- Cambridge, Mass. : National Bureau of Economic Research, 1999.
- Summary:
- This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios, relative to the market, within the month; and the dispersion of daily returns on individual firms, relative to their industries, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. All the volatility measures move together in a countercyclical fashion. While market volatility tends to lead the other volatility series, industry-level volatility is a particularly important leading indicator for the business cycle.
- Notes:
- Print version record
- May 1999.
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