European Business Schools Librarian's Group

HEC Research Papers Series,
HEC Paris

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

JEL-codes: G11; G12; G14

45 pages, July 1, 2008

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