Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition
过去40年美国股票特质性波动率年均增长6%，与现金流波动率同步上升，且与全经济范围竞争加剧有关，对理解市场效率和风险定价有参考价值。
Over the past 40 years, the volatility of the average stock return has drastically outpaced total market volatility. Thus, idiosyncratic return volatility has dramatically increased. We estimate this increase to be 6% per year. Consistent with an efficient market, this result is mirrored by an increase in the idiosyncratic volatility of fundamental cash flows. We argue that these findings are attributable to the more intense economy-wide competition. Various cross-sectional and time-series tests support this idea. Economic competitiveness facilitates reinterpretation of the results from the cross-country R-super-2 literature, as well as the US idiosyncratic risk literature. The Author 2008. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.