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Noise Trading in Stamm- und Vorzugsaktien

  • Martin Jaron

    (Ludwig-Maximilians-Universität München, Institut für Kapitalmarkt-forschung und Finanzierung, Schackstr. 4, D-80539 München)

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    The importance of noise trading is analysed for returns of a group of common and preferred stocks within the DAX. Returns of long-short portfolios comprising dual-class shares with one class listed in the index display excess co-movement with the market. Assuming that dual-class shares are fundamentally identical in the absence of a market for corporate control, it is possible to explain 80% of weekly return variation between the two share classes. The conditional volatility of such long-short portfolio returns ranges from 0,6% to 5,8% per week. Noise trader risk rather than market friction seems to account for these results.

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    Article provided by Credit and Capital Markets in its journal Kredit und Kapital.

    Volume (Year): 44 (2011)
    Issue (Month): 1 ()
    Pages: 105–128

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    Handle: RePEc:kuk:journl:v:44:y:2011:i:1:p:105-128
    Contact details of provider: Web page: http://www.credit-and-capital-markets.de/

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