Idiosyncratic Risk in the 1990s: Is It an IT Story?

Dietrich Domanski

No DP2003-07, WIDER Working Paper Series from World Institute for Development Economic Research (UNU-WIDER)

Abstract: This paper examines trends in idiosyncratic risk in different 'new economy' and 'old economy' industries, and explores whether these developments can be attributed to the use of IT. A CAPM-based decomposition of equity returns is employed to estimate idiosyncratic risk. The results provide evidence of an increase in idiosyncratic risk in the 1990s. A substantial part reflects high volatility of firms in the IT sector, and in particular that of new IT firms.

Keywords: Capital market; Equity; Information technology; Risk (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:unu:wpaper:dp2003-07

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