Why are U.S. Stocks More Volatile?

Söhnke Bartram, Gregory W. Brown and René Stulz

MPRA Paper from University Library of Munich, Germany

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 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.

Keywords: Firm risk; volatility; idiosyncratic risk; R-squared (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (102)

Published in Journal of Finance 4.67(2012): pp. 1329-1370

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Related works:
Journal Article: Why Are U.S. Stocks More Volatile? (2012)
Working Paper: Why Are U.S. Stocks More Volatile? (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:47341

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