This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly, correlations among individual stocks and...

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly, correlations among individual stocks and...

This paper reviews the literature on idiosyncratic equity volatility since the publication of “Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk” in 2001. We respond to replication studies by Chiah, Gharghori, and Zhong and by Leippold and Svaton,...

This paper reviews the literature on idiosyncratic equity volatility since the publication of “Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk” in 2001. We respond to replication studies by Chiah, Gharghori, and Zhong and by Leippold and Svaton,...

This paper reviews the literature on idiosyncratic equity volatility since the publication of "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk" in 2001. We respond to replication studies by Chiah, Gharghori, and Zhong and by Leippold and Svaton, and we...

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...

Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction...