Varying Heterogeneity Among U.S. Firms: Facts and Implications

Posted: 26 May 2013 Last revised: 4 Jun 2013

See all articles by Jung-Wook Kim

Jung-Wook Kim

Seoul National University - Graduate School of Business

Hyunbae Chun

Sogang University - Department of Economics

Randall Morck

University of Alberta - Department of Finance and Statistical Analysis; National Bureau of Economic Research (NBER); European Corporate Governence Institute; Asian Bureau of Finance and Economic Research

Date Written: July 21, 2010

Abstract

U.S. firms' stock return volatility rose fivefold from 1971 through 2000 and then reverted to near 1971 levels by 2006. This was driven mainly by a rise and fall in the firm-specific, rather than systematic, component of volatility. Firm-level total factor productivity growth volatility exhibited a similar pattern. We hypothesize that firm heterogeneity, reflected in firm-specific volatility, rises as a new general purpose technology (GPT) propagates across the economy and then ebbs once the GPT is widespread. Measuring GPT adoption by information technology capital intensity, we find robust cross-industry empirical evidence supporting the hypothesis.

Suggested Citation

Kim, Jung-Wook and Chun, Hyunbae and Morck, Randall K., Varying Heterogeneity Among U.S. Firms: Facts and Implications (July 21, 2010). Review of Economics and Statistics, Vol. 93, No. 3, 2011; University of Alberta School of Business Research Paper No. 2013-237. Available at SSRN: https://ssrn.com/abstract=2269907

Jung-Wook Kim

Seoul National University - Graduate School of Business ( email )

Seoul, 151-742
Korea, Republic of (South Korea)

Hyunbae Chun

Sogang University - Department of Economics ( email )

Seoul, 121-742
Korea, Republic of (South Korea)
+82-2-705-8515 (Phone)
+82-2-704-8599 (Fax)

HOME PAGE: http://hompi.sogang.ac.kr/hchun/

Randall K. Morck (Contact Author)

University of Alberta - Department of Finance and Statistical Analysis ( email )

2-32C Business Building
Edmonton, Alberta T6G 2R6
Canada
780-492-5683 (Phone)
780-492-3325 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

European Corporate Governence Institute ( email )

c/o ECARES ULB CP 114
B-1050 Brussels
Belgium

Asian Bureau of Finance and Economic Research ( email )

BIZ 2 Storey 4, 04-05
1 Business Link
Singapore, 117592
Singapore

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