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Why are U.S. Stocks More Volatile?

  • Bartram, Söhnke M.
  • Brown, Gregory W.
  • Stulz, René M.

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 U.S. because it increases with investor protection, stock market development, new patents, and firm-level investment in R&D. Each of these factors are related to better growth opportunities for firms and better ability to take advantage of these opportunities.

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File URL: http://mpra.ub.uni-muenchen.de/47341/2/MPRA_paper_47341.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 47341.

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Date of creation: 2012
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Publication status: Published in Journal of Finance 4.67(2012): pp. 1329-1370
Handle: RePEc:pra:mprapa:47341
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