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No 899:
Individual investors and volatility

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

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; (follow links to similar papers)

JEL-Codes: G11; G12; G14; (follow links to similar papers)

45 pages, July 1, 2008

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