Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
采用分解方法研究1962至1997年间美国股票市场、行业和公司层面的波动性，发现公司层面波动相对市场波动显著上升，导致个股相关性下降、分散化所需股票数量增加，且波动指标逆周期变动并有助于预测GDP增长。
ABSTRACT This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm‐level volatility relative to market volatility. Accordingly, correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, whereas the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures move together countercyclically and help to predict GDP growth. Market volatility tends to lead the other volatility series. Factors that may be responsible for these findings are suggested.