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Why are U.S. stocks more volatile?

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Why are U.S. stocks more volatile? / Bartram, Sohnke; Brown, Gregory W.; Stulz, Rene M.
In: Journal of Finance, Vol. 67, No. 4, 08.2012, p. 1329-1370.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Bartram, S, Brown, GW & Stulz, RM 2012, 'Why are U.S. stocks more volatile?', Journal of Finance, vol. 67, no. 4, pp. 1329-1370. https://doi.org/10.1111/j.1540-6261.2012.01749.x

APA

Bartram, S., Brown, G. W., & Stulz, R. M. (2012). Why are U.S. stocks more volatile? Journal of Finance, 67(4), 1329-1370. https://doi.org/10.1111/j.1540-6261.2012.01749.x

Vancouver

Bartram S, Brown GW, Stulz RM. Why are U.S. stocks more volatile? Journal of Finance. 2012 Aug;67(4):1329-1370. Epub 2012 Jul 19. doi: 10.1111/j.1540-6261.2012.01749.x

Author

Bartram, Sohnke ; Brown, Gregory W. ; Stulz, Rene M. / Why are U.S. stocks more volatile?. In: Journal of Finance. 2012 ; Vol. 67, No. 4. pp. 1329-1370.

Bibtex

@article{5705a84192b44ddfa16330aacc9f53de,
title = "Why are U.S. stocks more volatile?",
abstract = "U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility can be higher for reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that the volatility of U.S. firms is higher mostly because of good volatility. Specifically, stock volatility is higher in the United States because it increases with investor protection, stock market development, new patents, and firm-level investment in R&D. Each of these factors is related to better growth opportunities for firms and better ability to take advantage of these opportunities.",
author = "Sohnke Bartram and Brown, {Gregory W.} and Stulz, {Rene M.}",
year = "2012",
month = aug,
doi = "10.1111/j.1540-6261.2012.01749.x",
language = "English",
volume = "67",
pages = "1329--1370",
journal = "Journal of Finance",
issn = "0022-1082",
publisher = "Wiley-Blackwell",
number = "4",

}

RIS

TY - JOUR

T1 - Why are U.S. stocks more volatile?

AU - Bartram, Sohnke

AU - Brown, Gregory W.

AU - Stulz, Rene M.

PY - 2012/8

Y1 - 2012/8

N2 - U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility can be higher for reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that the volatility of U.S. firms is higher mostly because of good volatility. Specifically, stock volatility is higher in the United States because it increases with investor protection, stock market development, new patents, and firm-level investment in R&D. Each of these factors is related to better growth opportunities for firms and better ability to take advantage of these opportunities.

AB - U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility can be higher for reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that the volatility of U.S. firms is higher mostly because of good volatility. Specifically, stock volatility is higher in the United States because it increases with investor protection, stock market development, new patents, and firm-level investment in R&D. Each of these factors is related to better growth opportunities for firms and better ability to take advantage of these opportunities.

U2 - 10.1111/j.1540-6261.2012.01749.x

DO - 10.1111/j.1540-6261.2012.01749.x

M3 - Journal article

VL - 67

SP - 1329

EP - 1370

JO - Journal of Finance

JF - Journal of Finance

SN - 0022-1082

IS - 4

ER -