Individual investors and volatility

Thierry Foucault, David Themar () and David Sraer
Authors registered in the RePEc Author Service: David Thesmar

No 899, HEC Research Papers Series 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)
Pages: 45 pages
Date: 2008-07-01
New Economics Papers: this item is included in nep-fmk, nep-mst and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.hec.fr/var/fre/storage/original/applica ... d01ef3903e457b34.pdf (application/pdf)

Related works:
Journal Article: Individual Investors and Volatility (2011)
Working Paper: Individual Investors and Volatility (2011)
Working Paper: Individual Investors and Volatility (2008)
Working Paper: Individual Investors and Volatility (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:ebg:heccah:0899

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