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-level and aggregate risk seems to be present across industries in the United States and across OECD countries. Firm-level volatility increases after deregulation, and it is linked to research and development (R&D) 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.
No takes yet. Share an insight, caveat, or question.
Comín et al. (2005) studied this question.
Synapse has enriched one closely related paper. Consider it for comparative context: