Houston, Joel F.; Stiroh, Kevin J. - 2006
This paper examines the evolution of risk in the U.S. financial sector using firm-level equity market data from 1975 to … 2005. Over this period, financial sector volatility has steadily increased, reaching extraordinary levels from 1998 to 2002 … trend in volatility only for the common component that affects the entire financial sector. While idiosyncratic volatility …