Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 18, 2008 erstellt
Beschreibung:
We analyze the puzzling behavior of the volatility of individual stock returns around the turn of the Millennium. There has been much academic interest in this topic, but no convincing explanation has arisen. Our goal is to pull together the many competing explanations currently proposed in the literature to determine which, if any, are capable of explaining the volatility trend. Different than past studies on this topic, we focus separately on the cross-sectional and time-series explanatory power of the different explanations. We find that Cao et al. (2008) market-to-book ratio tracks average volatility levels well, but has no cross-sectional explanatory power. On the other hand, the low-price proxy suggested by Brandt et al. (2009) has much cross-sectional explanatory power, but has virtually no time-series explanatory power. We also find that all of the variables that track average volatility well do so mainly by capturing changes in the post-1994 period. These variables have no time-series explanatory power in the pre-1995 years, questioning the underlying idea that any of the explanations currently presented in the literature can track the trend in volatility over long periods