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 in firm-level volatility relative to market volatility. Accordingly, correlations among individual...

A long literature in empirical finance has isolated both a "value" and a small-capitalization effect in asset pricing. This study confirms the existence of these "style" effects both in new types of equity indexes and in the stocks of Chinese companies traded in international markets. We then...

Two prominent economists-one the author of "A Random Walk Down Wall Street" and the other a leading scholar in behavioral finance-debate the current validity of the efficient markets hypothesis (EMH). For over 30 years, the idea that capital markets are efficient and that stock prices reflect...

Since the beginning of the economic reforms two decades ago, the economy in China has enjoyed a real growth rate of 9.6 percent per year. We believe that China is only in the early stages of its rapid-growth period. China is likely to enjoy rapid growth for decades to come at rates well above...

Revolutions often spawn counterrevolutions and the efficient market hypothesis in finance is no exception. The intellectual dominance of the efficient-market revolution has more been challenged by economists who stress psychological and behavioral elements of stock-price determination and by...