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