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Why are U.S. stocks more volatile?
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Bartram, Söhnke M., Brown, Gregory W. and Stulz, Rene M.. (2012) Why are U.S. stocks more volatile? Journal of Finance, 67 (4). pp. 1329-1370. ISSN 0022-1082
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Official URL: http://dx.doi.org/10.1111/j.1540-6261.2012.01749.x
Abstract
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 investment in R&D. Each of these factors is related to better growth opportunities for firms and better ability to take advantage of these opportunities.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
| Journal or Publication Title: | Journal of Finance |
| Publisher: | Wiley-Blackwell Publishing, Inc. |
| ISSN: | 0022-1082 |
| Date: | August 2012 |
| Volume: | 67 |
| Number: | 4 |
| Page Range: | pp. 1329-1370 |
| Identification Number: | 10.1111/j.1540-6261.2012.01749.x |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Access rights to Published version: | Restricted or Subscription Access |
| URI: | http://wrap.warwick.ac.uk/id/eprint/49852 |
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