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Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

John Y. Campbell, Martin Lettau, Burton G. Malkiel, Yexiao Xu

The Journal of Finance, 2001. DOI 10.1111/0022-1082.00318

Has this study been replicated?

The atlas records 1 replication of this study. Recorded outcomes: 1 successful.

Replications

• Has Idiosyncratic Volatility Increased? Not in Recent Times, Chiah et al. (2023). Outcome recorded: successful. This study successfully replicates the key findings of Campbell et al. (2001). We document that aggregate idiosyncratic volatility increases over their sample period from 1962 to 1997. In out-of-sample analysis from 1926 to 1962 and 1998 to 2017, we find that idiosyncratic volatility (IV) decreases, View paper

Other studies in the atlas

• Has Idiosyncratic Volatility Increased? Not in Recent Times
• A Contribution to the Empirics of Economic Growth
• Revisiting the Mankiw et al. (1992) growth regressions
• Time-varying instrumental variable estimation
• Kernel-based time-varying IV estimation: handle with care
• Index

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