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American Economic Journal: Macroeconomics: Vol. 3 No. 4 (October 2011)

AEJ: Macro Volume. 3, Issue 4 | Previous ArticleNext Article

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Contrasting Trends in Firm Volatility

Article Citation

Thesmar, David, and Mathias Thoenig. 2011. "Contrasting Trends in Firm Volatility." American Economic Journal: Macroeconomics, 3(4): 143-80.

DOI: 10.1257/mac.3.4.143

Abstract

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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Download Data Set (5.27 MB) | Online Appendix (435.46 KB)

Authors

Thesmar, David (HEC Paris)
Thoenig, Mathias (U Lausanne and HEC Lausanne)

JEL Classifications

G15: International Financial Markets
G32: Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure
L25: Firm Performance: Size, Diversification, and Scope

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