Individual Investors and Volatility

• 成果类型: Article
• 署名作者: Foucault, Thierry; Sraer, David; Thesmar, David J.
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Princeton University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2011.01668.x
• 发表日期: 2011
• 页码: 1369-1406
• 关键词: IDIOSYNCRATIC VOLATILITY; stock returns; performance; MARKETS; volume

摘要

We show that retail trading activity has a positive effect on the volatility of stock returns, which suggests that retail investors behave as noise traders. To identify this effect, we use a reform of the French stock market that raises the relative cost of speculative trading for retail investors. The daily return volatility of the stocks affected by the reform falls by 20 basis points (a quarter of the sample standard deviation of the return volatility) relative to other stocks. For affected stocks, we also find a significant decrease in the magnitude of return reversals and the price impact of trades.