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 …, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures …

We explore the implications of asset price volatility for the management of monetary policy. We show that it is …

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 …, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market …

market performance in the preceding three months. This pattern strengthens in the postwar period. Third, market volatility is … volatility and other controls. Fourth, greater clarity as to jump reason also foreshadows lower volatility. Clarity in this sense …

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing … volatility as traditionally assumed. Incorporating the possibility of a disconnect between volatility and uncertainty …

This paper reviews the literature on idiosyncratic equity volatility since the publication of "Have Individual Stocks …, Gharghori, and Zhong and by Leippold and Svaton, and we present volatility estimates through the end of 2021, significantly … period, idiosyncratic volatility declined thereafter; but sharp increases in market, industry, and idiosyncratic volatility …

U.S. stock volatility is 33 percent lower during wartime and periods of conflict. This is true even for World Wars I … of the most surprising facts from two centuries of stock volatility data. We propose an explanation for the puzzle: the … reduces stock volatility. The sector level regressions show that defense spending predicts lower stock volatility for firms …

This paper examines the potential influence of changing volatility in stock market prices on the level of stock market … prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist …. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected …