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Idiosyncratic Risk in the 1990s: Is It an IT Story?

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  • Dietrich Domanski

Abstract

This paper examines trends in idiosyncratic risk in different 'new economy' and 'old economy' industries, and explores whether these developments can be attributed to the use of IT. A CAPM-based decomposition of equity returns is employed to estimate idiosyncratic risk. The results provide evidence of an increase in idiosyncratic risk in the 1990s. A substantial part reflects high volatility of firms in the IT sector, and in particular that of new IT firms.

Suggested Citation

  • Dietrich Domanski, 2003. "Idiosyncratic Risk in the 1990s: Is It an IT Story?," WIDER Working Paper Series DP2003-07, World Institute for Development Economic Research (UNU-WIDER).
    • Handle: RePEc:unu:wpaper:dp2003-07
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    References listed on IDEAS

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    Cited by:

    1. Laura Arenas & Ana Maria Gil-Lafuente, 2021. "Regime Switching in High-Tech ETFs: Idiosyncratic Volatility and Return," Mathematics, MDPI, vol. 9(7), pages 1-25, March.

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