Contrasting Trends in Firm Volatility | Zendy

David Thesmar | Zendy; Mathias Thoenig | Zendy

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Contrasting Trends in Firm Volatility

Author(s) -

David Thesmar,

Mathias Thoenig

Publication year - 2011

Publication title -

american economic journal macroeconomics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 10.443

H-Index - 61

eISSN - 1945-7707

pISSN - 1945-7715

DOI - 10.1257/mac.3.4.143

Subject(s) - volatility (finance) , volatility swap , monetary economics , volatility smile , business , panel data , stock (firearms) , implied volatility , volatility risk premium , economics , financial economics , econometrics , mechanical engineering , engineering

Over the past decades, the real and financial volatility of listed firms has increased, while the volatility of private firms has decreased. We first provide panel data evidence that, at the firm level, sales and employment volatility are impacted by changes in the degree of ownership concentration. We then construct a model with private and listed firms where risk-taking is a choice variable at the firm-level. Due to general equilibrium feedback, we find that both an increase in stock market participation and integration in international capital markets generate opposite trends in volatility for private and listed firms. (JEL G15, G32, L25)

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