| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6921 |
| DP6921 Scale, Diversity and Determinants of Labour Migration in Europe | |
| Klaus F. Zimmermann; Anzelika Zaiceva | |
| 发表日期 | 2008-07-25 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We test the hypothesis that individual investors contribute to the idiosyncratic volatility of stock returns because they act as noise traders. To this end, we consider a reform that makes short selling or buying on margin more expensive for retail investors relative to institutions, for a subset of French stocks. If retail investors are noise traders, theory implies that the volatility of stocks affected by the reform should decrease relative to other stocks. This prediction is borne out by the data. Moreover, around the reform, we observe a significant decrease in (i) the magnitude of returns reversals, and (ii) the Amihud ratio for the stocks affected by the reform relative to other stocks. We show that these findings are also consistent with models in which individual investors, acting as noise traders, are a source of volatility. |
| 主题 | Financial Economics |
| 关键词 | Idiosyncratic volatility Noise trading Retail investors |
| URL | https://cepr.org/publications/dp6921 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535757 |
| 推荐引用方式 GB/T 7714 | Klaus F. Zimmermann,Anzelika Zaiceva. DP6921 Scale, Diversity and Determinants of Labour Migration in Europe. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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