TY  - JOUR
AU  - Comin, Diego
AU  - Philippon, Thomas
TI  - The Rise in Firm-Level Volatility: Causes and Consequences
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11388
PY  - 2005
Y2  - May 2005
DO  - 10.3386/w11388
UR  - http://www.nber.org/papers/w11388
L1  - http://www.nber.org/papers/w11388.pdf
N1  - Author contact info:
Diego A. Comin
Dartmouth College
Economics Department
6106 Rockefeller Hall, Room 327
Hanover, NH 03755
Tel: (603) 646-2531
E-Mail: diego.comin@dartmouth.edu

Thomas Philippon
New York University
Stern School of Business
44 West 4th Street, Suite 9-190
New York, NY  10012-1126
Tel: 212/998-0490
Fax: 212/995-4233
E-Mail: tphilipp@stern.nyu.edu
M1  - published as Diego A. Comin, Thomas Philippon. "The Rise in Firm-Level Volatility: Causes and Consequences," in Mark Gertler and Kenneth Rogoff, editors, "NBER Macroeconomics Annual 2005, Volume 20" MIT Press (2006)

AB  - We document that the recent decline in aggregate volatility has been accompanied by a large increase in firm level risk. The negative relationship between firm and aggregate risk seems to be present across industries in the US, and across OECD countries. Firm volatility increases after deregulation. Firm volatility is linked to research and development spending as well as access to external financing. Further, R&D intensity is also associated with lower correlation of sectoral growth with the rest of the economy.
ER  -