What Drove the Increase in Idiosyncratic Volatility during the Internet Boom?
研究了1990年代末互联网繁荣期间，上市公司平均成熟度下降如何解释特质波动率近五倍的飙升，并排除了投资者情绪的主导作用。
Abstract Aggregate idiosyncratic volatility spiked nearly fivefold during the Internet boom of the late 1990s, dwarfing in magnitude a moderately increasing trend. While some researchers argue that this rise in idiosyncratic risk was the result of changes in the characteristics of public firms, others argue that it was driven by the changing sentiment of irrational traders. We present evidence that the marketwide decline in maturity of the typical public firm can explain most of the increase in firm-specific risk during the Internet boom. Controlling for firm maturity, we find no evidence that investor sentiment drives idiosyncratic risk throughout the Internet boom.