Idiosyncratic risk in the Dow Jones Eurostoxx50 Index

Kevin Daly and Vinh Vo

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 16, 4261-4271

Abstract: Recent evidence by Campbell et al. [J.Y. Campbell, M. Lettau B.G. Malkiel, Y. Xu, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, The Journal of Finance (February) (2001)] shows an increase in firm-level volatility and a decline of the correlation among stock returns in the US. In relation to the Euro-Area stock markets, we find that both aggregate firm-level volatility and average stock market correlation have trended upwards.

Keywords: Idiosyncratic risk; Intemporal capital asset pricing model (ICAPM); Dow Jones Eurostoxx50 Index; Efficient market hypothesis (EMH) (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:16:p:4261-4271

DOI: 10.1016/j.physa.2008.02.052

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