Why are U.S. Stocks More Volatile?

@article{Bartram2011WhyAU,
  title={Why are U.S. Stocks More Volatile?},
  author={S{\"o}hnke M. Bartram and Gregory W. Brown and Ren{\'e} Stulz},
  journal={International Corporate Finance eJournal},
  year={2011}
}
U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility can be higher for reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that the volatility of U.S. firms is higher mostly because of good volatility. Specifically, stock volatility is higher in the United States because it increases with investor protection, stock market development, new patents, and firm-level… Expand
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers
In this paper, we examine how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provideExpand
How Do Financing Constraints Affect Firms' Equity Volatility?
Higher firm equity volatility is often associated with non-fundamental trading by investors or constraints on firms’ ability to insulate their value from economic risks. This paper provides evidenceExpand
Innovation, Stock Market Feedback and Good Idiosyncratic Volatility
We theoretically and empirically analyze information generation by stock markets on economic prospects of innovations and the resultant feedback effect on firm-level innovation-related investmentExpand
Why Does Idiosyncratic Risk Increase with Market Risk?
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust acrossExpand
REAL VOLATILITIES AND FINANCIAL POLICIES AROUND THE WORLD
Even though developing economies are more volatile, firms in developed countries hold more cash and less debt. We show (1) Despite greater aggregate stability, the performance and characteristics ofExpand
Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks
Average return differences among firms sorted on valuation ratios, past investment, prof- itability, market beta, or idiosyncratic volatility are largely driven by differences in exposures of firmsExpand
Competition and Operating Volatilities around the World
Although developing economies are more volatile, firms in developed countries hold more cash and less debt. We show that despite greater aggregate and industry stability, the performance and balanceExpand
Competition and Operating Volatilities around the World
Numerous papers have shown that developing economies are more volatile. We show that, despite greater aggregate and industry stability, performance and size of individual firms in developed countriesExpand
Experience-based corporate corruption and stock market volatility: Evidence from emerging markets
This paper reassesses how “experience-based” corporate corruption affects stock market volatility in 14 emerging markets. We match the World Bank enterprise-level data on bribes with a uniqueExpand
Investor Types and Stock Return Volatility
The purpose of this paper is twofold: investigate how different types of investors affect stock return volatility, and provide some explanations based on investors’ trading behavior. Norway providesExpand
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 73 REFERENCES
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
This paper 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 inExpand
Average Idiosyncratic Volatility in G7 Countries
The paper analyzes average idiosyncratic volatility in G7 countries. We find that idiosyncratic volatility is highly correlated across countries and there is a significant Granger causality from theExpand
Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition
Over the past 40 years, the volatility of the average stock return has drastically outpaced total market volatility. Thus, idiosyncratic return volatility has dramatically increased. We estimate thisExpand
Does Idiosyncratic Business Risk Matter?
Financial market imperfections can prevent entrepreneurs from diversifying away the idiosyncratic risk of their business. As a result idiosyncratic risk discourages entrepreneurial activity andExpand
Does International Cross-Listing Improve the Information Environment?
We investigate whether cross-listing in the U.S. affects the information environment for non-U.S. stocks. Our findings suggest cross-listing has an asymmetric impact on stock price informativenessExpand
Emerging Equity Market Volatility
Returns in emerging capital markets are very different from returns in developed markets. While most previous research has focused on average returns, we analyze the volatility of the returns inExpand
Aggregate Idiosyncratic Volatility
We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies. We find no evidence of upward trends after extending the sample to 2008. Instead,Expand
Financial Market Development and the Rise in Firm Level Uncertainty
This Paper posits that firms can choose the degree of risk inherent to their technological/ marketing/organizational strategies. Financial market development, by improving risk sharing between ownersExpand
Can Growth Options Explain the Trend in Idiosyncratic Risk
While recent studies document increasing idiosyncratic volatility over the past four decades, an explanation for this trend remains elusive. We establish a theoretical link between growth optionsExpand
Foreign Speculators and Emerging Equity Markets
A number of countries have delayed the opening of their capital markets to international" investment because of reservations about the impact of foreign speculators on both expected" returns andExpand
...
1
2
3
4
5
...