Xu, Yexiao; Malkiel, Burton G. - In: The Journal of Business 76 (2003) 4, pp. 613-644
This article studies the behavior of idiosyncratic volatility for the postWorld War II period. Using aggregate idiosyncratic volatility statistics constructed from the Fama and French (1993) three-factor model, we find that the volatility of individual stocks appears to have increased over time....
