Cross-sectoral variation in firm-level idiosyncratic risk

Castro, Rui; Clementi, Gian Luca; Lee, Yoonsoo

doi:10.26509/frbc-wp-200812

Working Paper

Cross-sectoral variation in firm-level idiosyncratic risk

Abstract: In this paper we use data from the U.S. Census Bureau?s Longitudinal Research Database in order to assess the extent of the cross-sectoral variation in firm-level idiosyncratic risk and shed light on its determinants. We find that firms producing investment goods exhibit greater volatility in sales and TFP growth than firms producing consumption goods. Our data suggests that this may be the case because winner?takes?all competition is more common for the former than for the latter.

Keywords: Manufacturing industries; Research and development;

https://doi.org/10.26509/frbc-wp-200812