Belief dispersion among household investors and stock trading volume

Dan Li and Geng Li
Additional contact information
Dan Li: https://www.federalreserve.gov/econres/dan-li.htm

No 2011-39, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We study the effects of belief dispersion on stock trading volume. Unlike most of the existing work on the subject, our paper focuses on how household investors' disagreements on macroeconomic variables influence market-wide trading volume. We show that greater belief dispersion among household investors is associated with significantly higher trading volume, even after controlling for the disagreements among professional forecasters. Further, we find that the belief dispersion among household investors who are more likely to own stocks has more pronounced effects on trading volume, suggesting a causal relationship. Finally, we show that greater \"belief jumbling,\" or the dispersion of belief changes over a given period, is also related to more active trading during the same period.

Keywords: Investments; Stockholders (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.federalreserve.gov/pubs/feds/2011/201139/201139abs.html (text/html)
http://www.federalreserve.gov/pubs/feds/2011/201139/201139pap.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2011-39

Access Statistics for this paper

More papers in Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().