Why Has Idiosyncratic Volatility Increased?

62 Pages Posted: 18 Apr 2019

Date Written: November 14, 2000


This study examines the previously documented trend in idiosyncratic volatility and explores empirical reasons why this trend may have transpired. The study highlights the increasing role of younger firms that go public at earlier stages in driving average idiosyncratic volatility up.

Keywords: Idiosyncratic Volatility

JEL Classification: G12

Suggested Citation

Safdar, Irfan, Why Has Idiosyncratic Volatility Increased? (November 14, 2000). Available at SSRN: https://ssrn.com/abstract=3357235 or http://dx.doi.org/10.2139/ssrn.3357235

Irfan Safdar (Contact Author)

Widener University ( email )

Chester, PA 19013
United States

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