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"We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid markets. Such trades generate significant spikes in returns and volume, even in the absence of important news about fundamentals. We derive the optimal trading behavior of these investors, which allows us to provide a unified explanation for apparently disconnected empirical regularities in returns, trading volume and investor size"--National Bureau of Economic Research web site.
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Subjects
Institutional investments, Stocks, Prices, Mathematical modelsShowing 1 featured edition. View all 1 editions?
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Institutional investors and stock market volatility
2005, National Bureau of Economic Research
Electronic resource
in English
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Book Details
Edition Notes
Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 11/18/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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- Created April 1, 2008
- 4 revisions
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December 13, 2020 | Edited by MARC Bot | import existing book |
August 4, 2012 | Edited by VacuumBot | Updated format '[electronic resource] /' to 'Electronic resource' |
October 31, 2008 | Edited by ImportBot | add URIs from original MARC record |
April 1, 2008 | Created by an anonymous user | Imported from Scriblio MARC record |