The Rise in Firm-Level Volatility: Causes and Consequences

Comin, Diego; Philippon, Thomas

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The Rise in Firm-Level Volatility: Causes and Consequences

NYU Working Paper No. S-DRP-05-01

44 Pages Posted: 5 Nov 2008

See all articles by Diego Comin

Diego Comin

New York University (NYU) - Department of Economics; National Bureau of Economic Research (NBER)

Thomas Philippon

New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER)

There are 2 versions of this paper

Date Written: July 2005

Abstract

We document that the recent decline in aggregate volatility has been accompanied by a large increase in firm level risk. The negative relationship between firm and aggregate risk seems to be present across industries in the US, and across OECD countries. Firm volatility increases after deregulation. Firm volatility is linked to research and development spending as well as access to external financing. Further, R&D intensity is also associated with lower correlation of sectoral growth with the rest of the economy.

Suggested Citation: Suggested Citation

Comin, Diego and Philippon, Thomas, The Rise in Firm-Level Volatility: Causes and Consequences (July 2005). NYU Working Paper No. S-DRP-05-01, Available at SSRN: https://ssrn.com/abstract=1295850