Discussion paper

DP1923 Dispersion and Volatility in Stock Returns: An Empirical Investigation

This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or ?dispersion? of daily returns on industry portfolios, relative to the market, within the month; and the dispersion of daily returns on individual firms, relative to their industries, within the month. Over the period 1962?95 there has been a noticeable increase in firm-level volatility relative to market volatility. All the volatility measures move together in a countercyclical fashion. While market volatility tends to lead the other volatility series, industry-level volatility is a particularly important leading indicator for the business cycle.

£6.00
Citation

Campbell, J, M Lettau and S Kim (1998), ‘DP1923 Dispersion and Volatility in Stock Returns: An Empirical Investigation‘, CEPR Discussion Paper No. 1923. CEPR Press, Paris & London. https://cepr.org/publications/dp1923