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Individual investors and volatility

Author

Listed:
  • Foucault, Thierry
  • Themar, David
  • Sraer, David

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.

Suggested Citation

  • Foucault, Thierry & Themar, David & Sraer, David, 2008. "Individual investors and volatility," HEC Research Papers Series 899, HEC Paris.
    • Handle: RePEc:ebg:heccah:0899
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    References listed on IDEAS

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    More about this item

    Keywords

    Idiosyncratic volatility; Retail investors; Noise trading;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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