Institutional investors and stock market volatility
by Xavier Gabaix
"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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Prices, Econometric models, Stocks, Institutional investmentsShowing 1 featured edition. View all 1 editions?
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Institutional investors and stock market volatility
2005, National Bureau of Economic Research
in English
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Edition Notes
"October 2005."
Includes bibliographical references (p. 33-43).
Also available in PDF from the NBER world wide web site (www.nber.org).
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| February 7, 2019 | Created by MARC Bot | import existing book |