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Individual investors and volatility

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Author Info
Foucault, Thierry ()
Themar, David ()
Sraer, David ()

Additional information is available for the following registered author(s):

Abstract

In this paper, the authors test the hypothesis that individual investors contribute to the idiosyncratic volatility of stock returns because they act as noise traders.

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Publisher Info
Paper provided by HEC Paris in its series Les Cahiers de Recherche with number 899.

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Length: 45 pages
Date of creation: 01 Jul 2008
Date of revision:
Handle: RePEc:ebg:heccah:0899

Contact details of provider:
Postal: HEC Paris, 78351 Jouy-en-Josas cedex, France
Web page: http://www.hec.fr/
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Related research
Keywords: Idiosyncratic volatility; Retail investors; Noise trading;

Other versions of this item:

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

This paper has been announced in the following NEP Reports:

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Ron Kaniel & Gideon Saar & Sheridan Titman, 2008. "Individual Investor Trading and Stock Returns," Journal of Finance, American Finance Association, vol. 63(1), pages 273-310, 02. [Downloadable!] (restricted)
  2. Grinblatt, Mark & Keloharju, Matti, 2000. "The investment behavior and performance of various investor types: a study of Finland's unique data set," Journal of Financial Economics, Elsevier, vol. 55(1), pages 43-67, January. [Downloadable!] (restricted)
  3. Frazzini, Andrea & Lamont, Owen A., 2008. "Dumb money: Mutual fund flows and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 88(2), pages 299-322, May. [Downloadable!] (restricted)
    Other versions:
  4. Dorn, Daniel & Huberman, Gur & Sengmueller, Paul, 2007. "Correlated Trading and Returns," CEPR Discussion Papers 6530, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  5. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Bessembinder, Hendrik & Venkataraman, Kumar, 2004. "Does an electronic stock exchange need an upstairs market?," Journal of Financial Economics, Elsevier, vol. 73(1), pages 3-36, July. [Downloadable!] (restricted)
  7. Biais, B. & Bisiere, C. & Decamps, J.-P., 1997. "Short Sales COnstraints, Liquidity and Price Discovery: An Empirical Analysis on the Paris Bourse," Papers 97.485, Toulouse - GREMAQ.
    Other versions:
  8. Subrahmanyam, Avanidhar, 1998. "Transaction Taxes and Financial Market Equilibrium," Journal of Business, University of Chicago Press, vol. 71(1), pages 81-118, January. [Downloadable!] (restricted)
  9. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-38, August. [Downloadable!] (restricted)
    Other versions:
  10. Allen, Franklin & Gale, Douglas, 1994. "Limited Market Participation and Volatility of Asset Prices," American Economic Review, American Economic Association, vol. 84(4), pages 933-55, September. [Downloadable!] (restricted)
    Other versions:
  11. Brad M. Barber & Terrance Odean, 2002. "Online Investors: Do the Slow Die First?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(2), pages 455-488, March.
  12. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January. [Downloadable!] (restricted)
  13. Soeren Hvidkjaer, 2006. "A Trade-Based Analysis of Momentum," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 19(2), pages 457-491. [Downloadable!] (restricted)
  14. Solnik, Bruno, 1990. " The Distribution of Daily Stock Returns and Settlement Procedures: The Paris Bourse," Journal of Finance, American Finance Association, vol. 45(5), pages 1601-09, December. [Downloadable!] (restricted)
  15. Umlauf, Steven R., 1993. "Transaction taxes and the behavior of the Swedish stock market," Journal of Financial Economics, Elsevier, vol. 33(2), pages 227-240, April. [Downloadable!] (restricted)
  16. Frank M. Song & Junxi Zhang, 2005. "Securities Transaction Tax and Market Volatility," Economic Journal, Royal Economic Society, vol. 115(506), pages 1103-1120, October. [Downloadable!] (restricted)
  17. Soeren Hvidkjaer, 2008. "Small Trades and the Cross-Section of Stock Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(3), pages 1123-1151, May. [Downloadable!] (restricted)
  18. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, vol. 88(2), pages 406-423, May. [Downloadable!] (restricted)
  19. Artyom Durnev & Randall Morck & Bernard Yeung & Paul Zarowin, 2003. "Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing?," Journal of Accounting Research, Blackwell Publishing, vol. 41(5), pages 797-836, December. [Downloadable!] (restricted)
  20. Jones, Charles M & Seguin, Paul J, 1997. "Transaction Costs and Price Volatility: Evidence from Commission Deregulation," American Economic Review, American Economic Association, vol. 87(4), pages 728-37, September. [Downloadable!] (restricted)
  21. Campbell, John Y & Kyle, Albert S, 1993. "Smart Money, Noise Trading and Stock Price Behaviour," Review of Economic Studies, Blackwell Publishing, vol. 60(1), pages 1-34, January. [Downloadable!] (restricted)
    Other versions:
  22. Pontiff, Jeffrey, 2006. "Costly arbitrage and the myth of idiosyncratic risk," Journal of Accounting and Economics, Elsevier, vol. 42(1-2), pages 35-52, October. [Downloadable!] (restricted)
  23. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Moving the Goalposts: Addressing Limited Overlap in the Estimation of Average Treatment Effects by Changing the Estimand," NBER Technical Working Papers 0330, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  24. Dow, James & Rahi, Rohit, 2000. "Should Speculators Be Taxed?," Journal of Business, University of Chicago Press, vol. 73(1), pages 89-107, January. [Downloadable!] (restricted)
    Other versions:
  25. Brad M. Barber & Terrance Odean, 2000. "Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors," Journal of Finance, American Finance Association, vol. 55(2), pages 773-806, 04. [Downloadable!] (restricted)
  26. Scruggs, John T., 2007. "Noise trader risk: Evidence from the Siamese twins," Journal of Financial Markets, Elsevier, vol. 10(1), pages 76-105, February. [Downloadable!] (restricted)
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This page was last updated on 2009-11-8.

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