Les Cahiers de Recherche - HEC Paris
Individual investors and volatility
(), 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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