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Why are U.S. stocks more volatile?

Bartram, Sohnke and Brown, Gregory W. and Stulz, Rene M. (2012) Why are U.S. stocks more volatile? Journal of Finance, 67 (4). pp. 1329-1370. ISSN 0022-1082

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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.

Item Type: Article
Journal or Publication Title: Journal of Finance
Subjects: UNSPECIFIED
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 45763
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 19:37
Refereed?: Yes
Published?: Published
Last Modified: 24 Jan 2014 05:21
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/45763

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