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: Suggested Citation