The Rise in Firm-Level Volatility: Causes and Consequences

43 Pages Posted: 14 Aug 2012

See all articles by Diego A. Comin

Diego A. Comin

Harvard Business School - Business, Government and the International Economy Unit

Thomas Philippon

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

Date Written: May 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

Comin, Diego A. and Philippon, Thomas, The Rise in Firm-Level Volatility: Causes and Consequences (May 2005). NBER Working Paper No. w11388. Available at SSRN: https://ssrn.com/abstract=2129052

Diego A. Comin (Contact Author)

Harvard Business School - Business, Government and the International Economy Unit ( email )

Cambridge
United States

Thomas Philippon

New York University (NYU) - Department of Finance ( email )

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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