Individual investors and volatility

Thierry Foucault, David Themar () and David Sraer ()

No 899, Les Cahiers de Recherche from HEC Paris

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.

Keywords: Idiosyncratic volatility; Retail investors; Noise trading (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk, nep-mst and nep-upt
Date: 2008-07-01
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Related works:
Working Paper: Individual Investors and Volatility (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:ebg:heccah:0899

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