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dc.contributor.authorAllan, Eberhart-
dc.contributor.authorDamodaran, Aswath-
dc.date.accessioned2008-05-29T15:07:45Z-
dc.date.available2008-05-29T15:07:45Z-
dc.date.issued1997-01-
dc.identifier.urihttp://hdl.handle.net/2451/26975-
dc.description.abstractMany studies argue that differences in information across securities explain much of the cross-sectional variation in stock return volatility. We offer an explanation beyond that previously identified in the literature by developing a proxy for differential information. Our proxy follows from our simple model development where the amount of information regarding a firm is positively related to how similar it is to its comparables (i.e., firms in the same industry). We call this measure of differential information the degree of comparability. In all our empirical tests, we consistently find a negative and highly significant relationship between volatility and the degree of comparability (after controlling for other factors the literature has found affect volatility). Moreover, in some tests, the degree of comparability is the most significant factor in explaining volatility.en
dc.language.isoen_USen
dc.relation.ispartofseriesFIN-96-023en
dc.titleRelative Valuation, Differential Information, and Cross-sectional Differences in Stock Return Volatilityen
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

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