Why did individual stocks become more volatile?

Xiangdong Wei, Chu Zhang

Research output: Journal article publicationReview articleAcademic researchpeer-review

161 Citations (Scopus)


We investigate why individual stocks become more volatile over the 1976-2000 period, during which quarterly accounting data are available at the firm level. On average, corporate earnings have deteriorated and their volatilities have increased over the sample period. This is more evident for newly listed stocks than for existing stocks. The stock return volatility is negatively related to the return-on-equity and positively related to the volatility of the return-on-equity in cross-sections. The upward trend in average stock return volatility is fully accounted for by the downward trend in the return-on-equity and the upward trend in the volatility of the return-on-equity.
Original languageEnglish
Pages (from-to)259-292
Number of pages34
JournalJournal of Business
Issue number1
Publication statusPublished - 1 Jan 2006

ASJC Scopus subject areas

  • Business and International Management
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


Dive into the research topics of 'Why did individual stocks become more volatile?'. Together they form a unique fingerprint.

Cite this