Why Are U.S. Stocks More Volatile

By Söhnke M. Bartram, Gregory W. Brown, René M. Stulz. 2012

235 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0fe66de139ba6325cad8f33ec8fb437fcce8e6ba

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Citations in the corpus

Do U.S. firms hold more cash than foreign firms do (2016, methodology): “This technique has been used before in comparing U.S. firms to foreign firms (see, for instance,Aggarwal et al. 2009; Bartram, Brown, and Stulz 2012).”
R2 and Idiosyncratic Risk are not Interchangeable (2014, background): “A Reconciliation Bartram et al. (2012) show that ﬁrms from developed countries have lower R 2 s than ﬁrms from emerging markets, but U.S. ﬁrms have signiﬁcantly lower R 2 s than both groups.”
Extensions of some classical methods in change point analysis (2014, background): “Bartram et al. (2012)]. Hence it is an important consideration in case of panel data that N , the number of panels, might be much larger than T , the number of observations in any given panel. For a survey on panel data we refer to Hsiao (2007). To illustrate change point detection in panels, we con”
A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks (2012, unknown): “Finally, the literature also connects growth opportunities to the firms’ idiosyncratic risk, appealing to the common assumption that there is more uncertainty about firms’ growth opportunities than their assets in place (see, e.g., Myers and Majluf, 1984; Bartram, Brown, and Stulz, 2011).”
Why do some banks contribute more to global systemic risk? (2018, methodology): “Bartram et al. (2007) argue that payment failures might lead to an increase in a bank’s loan defaults resulting in an increase in the”
Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion (2012, background): “In addition, Rajgopal and Venkatachalam (2011) and Bartram, Brown, and Stulz (2011) directly examine the relation between idiosyncratic return volatility and corporate-disclosure or earnings quality, and find a negative association between the two.”
Why Have Measures of Earnings Quality Changed Over Time (2014, background): “In contrast, over the last few decades, the United States has built comparative advantages through innovation, ideas, knowledge, and competencies (Crescenzi et al., 2007; Bartram et al., 2012).”
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers (2015, unknown): “An indirect link to our analysis is illustrated in Bartram et al. (2012), who discuss the concept of bad and good volatility.”
Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, unknown): “Moreover, Bartram, Brown, and Stulz (2012) find that the percentage of zero returns, a liquidity proxy (Lesmond, Ogden, and Trzcinka (1999)), explains the differences in R2s between emerging markets and the U.S. market.”