Investigating the Behavior of Ldiosyncratic Volatility

Investigating the demeanor of Idiosyncratic capriciousness Author(s): Yexiao Xu and Burton G. Malkiel Reviewed work(s): Source: The ledger of Business, Vol. 76, no(prenominal) 4 (October 2003), pp. 613-645 Published by: The University of Chicago Press abiding universal resource locator: http://www.jstor.org/stable/10.1086/377033 . Accessed: 05/09/2012 06:16 Your use of the JSTOR archive indicates your acceptance of the cost & Conditions of Use, available at . http://www.jstor.org/ summon/info/ just some/policies/terms.jsp . JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and realise upon a wide mark of content in a trusted digital archive. We use information technology and tools to transmit productivity and facilitate innovative forms of scholarship. For more information about JSTOR, please contact clog@jstor.org. . The University of Chicago Press is collaborating with JSTOR to digitize, husband an d extend access to The Journal of Business. http://www.jstor.org Yexiao Xu University of Texas at Dallas Burton G. Malkiel Princeton University Investigating the Behavior of Idiosyncratic Volatility* I. Introduction Considerable trouble has been accustomed in the ?nancial press to the add in stock market volatility during the late 1990s.

The facts suggest, however, that this assist has been misplaced. As shown ?rst by Schwert (1989), no long-run uptrend is evident for the volatility of the market as a unharmed. The volatility of the market during the late 1990s, era larger than it was prior in the decade, was still considerably! below the volatility put down during earlier periods of the century. What has received far less attention is the manner of the volatility of individual stocks. The volatility of individual stocks can increase even when the volatility of the market as a whole carcass stable, as long as correlations among stocks are declining. In this study, we show from a different perspective and...If you want to define a all-inclusive essay, order it on our website: OrderCustomPaper.com

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