Total Factor Productivity and Idiosyncratic Volatility Trends
Author | : Hussein Abdoh |
Publisher | : |
Total Pages | : 0 |
Release | : 2020 |
ISBN-10 | : OCLC:1375435885 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Total Factor Productivity and Idiosyncratic Volatility Trends written by Hussein Abdoh and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Firms' idiosyncratic stock return volatility has become more volatile in the US since the 1960s. This paper investigates why individual stocks became more volatile over the 1964-2013 period using firm-level total factor productivity (TFP). On average, the volatility of idiosyncratic TFP growth rate has increased, being associated with higher idiosyncratic return volatility. The connection between TFP growth and economic profits provides an explanation for the increase in the idiosyncratic volatility of fundamental cash flows. The results are robust when using time-series and panel regressions and controlling for cash flow and earnings variability, size, book-to-market, leverage, profitability, age, dividend yield, and stock illiquidity.