Sousa, Sónia R.Serra, Ana Paula2018-06-072018-06-072008-12Sousa, Sónia R. e Ana Paula Serra (2008). "What drives idiosyncratic volatility over time?". Portuguese Economic Journal, 7(3):155-1811617-982X (print)1617-9838 (online)http://hdl.handle.net/10400.5/15579We document the patterns of market-wide and firm-specific volatility in the Portuguese stock market over the 1991–2005 period and test several explanations for the behavior of firm-level idiosyncratic volatility. Unlike previous studies we find no evidence of a statistically significant rise in firm- specific volatility. On the contrary, the ratio of firm-specific risk to total risk slightly decreases. We show that this result stems from new listings of large privatized companies that display lower firm-specific risk. Our findings are consistent with the idea that changes in idiosyncratic volatility are related to changes in the composition of the market.engIdiosyncratic volatility · Firm-specific risk · Volatility componentsFirm-specific riskVolatility componentsjournal article10.1007/s10258-008-0031-7