Abstract

http://ssrn.com/abstract=1769207
 
 

Citations (11)



 


 



Why are U.S. Stocks More Volatile?


Söhnke M. Bartram


London Business School - Department of Finance; Warwick Business School - Department of Finance

Gregory W. Brown


University of North Carolina (UNC) at Chapel Hill - Finance Area

Rene M. Stulz


Ohio State University (OSU) - Department of Finance; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI)

February 24, 2011

Charles A. Dice Center Working Paper No. 2011-6
Fisher College of Business Working Paper No. 2011-03-006

Abstract:     
From 1991 to 2006, U.S. stocks are more volatile than stocks of similar foreign firms. A firm’s stock return volatility in a country can be higher than the stock return volatility of a similar firm in another country 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, firm stock volatility is higher in the U.S. because it increases with investor protection, stock market development, research intensity at the country level, and firm-level investment in R&D. These are all factors that are related to better growth opportunities for firms and better ability to take advantage of these opportunities. Though it is often argued that better disclosure is associated with greater volatility as more information is impounded in stock prices, we find instead that greater disclosure is associated with lower stock volatility.

Number of Pages in PDF File: 49

Keywords: Firm risk, Volatility, Idiosyncratic risk, R-squared

JEL Classification: G12, G15

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Date posted: February 27, 2011  

Suggested Citation

Bartram, Söhnke M. and Brown, Gregory W. and Stulz, Rene M., Why are U.S. Stocks More Volatile? (February 24, 2011). Fisher College of Business Working Paper No. 2011-03-006. Available at SSRN: http://ssrn.com/abstract=1769207 or http://dx.doi.org/10.2139/ssrn.1769207

Contact Information

Söhnke M. Bartram
London Business School - Department of Finance ( email )
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
+44 (20) 7000 8270 (Phone)
+44 (20) 7000 8201 (Fax)
Warwick Business School - Department of Finance ( email )
Coventry, CV4 7AL
United Kingdom
+44 (24) 7657 4168 (Phone)
+1 425 952 1070 (Fax)
HOME PAGE: http://go.warwick.ac.uk/sbartram/
Gregory W. Brown
University of North Carolina (UNC) at Chapel Hill - Finance Area ( email )
Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

Rene M. Stulz (Contact Author)
Ohio State University (OSU) - Department of Finance ( email )
2100 Neil Avenue
Columbus, OH 43210-1144
United States
HOME PAGE: http://www.cob.ohio-state.edu/fin/faculty/stulz

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
European Corporate Governance Institute (ECGI)
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
Feedback to SSRN


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Citations:  11

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