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The upward trend in the volatility of firm productivity shocks

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  • Liu, Yunting

Abstract

I document robust empirical evidence on the upward trend in the volatility of firm-specific productivity shocks. The trend is robust after controlling for the compositional change of the data sample and is stronger for firms that are newer, smaller and are in the technology sector.

Suggested Citation

  • Liu, Yunting, 2018. "The upward trend in the volatility of firm productivity shocks," Economics Letters, Elsevier, vol. 163(C), pages 68-71.
    • Handle: RePEc:eee:ecolet:v:163:y:2018:i:c:p:68-71
    DOI: 10.1016/j.econlet.2017.11.027
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    References listed on IDEAS

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    1. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
    2. Nicholas Bloom & Max Floetotto & Nir Jaimovich & Itay Saporta†Eksten & Stephen J. Terry, 2018. "Really Uncertain Business Cycles," Econometrica, Econometric Society, vol. 86(3), pages 1031-1065, May.
    3. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, May.
    4. Olley, G Steven & Pakes, Ariel, 1996. "The Dynamics of Productivity in the Telecommunications Equipment Industry," Econometrica, Econometric Society, vol. 64(6), pages 1263-1297, November.
    5. Diego Comin & Sunil Mulani, 2006. "Diverging Trends in Aggregate and Firm Volatility," The Review of Economics and Statistics, MIT Press, vol. 88(2), pages 374-383, May.
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    Cited by:

    1. Chunhsin Chou & Joeming Lee & Yingmaw Teng & Hsiuling Lee, 2022. "The relationships between productivity, operational risk, and firm performance," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 68(3), pages 97-106.

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    More about this item

    Keywords

    Firm productivity shocks; Volatility; Upward trend;
    All these keywords.

    JEL classification:

    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment

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