Institutional investors and stock market volatility

Institutional investors and stock market vola ...
Xavier Gabaix
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Last edited by MARC Bot
February 7, 2019 | History

Institutional investors and stock market volatility

"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.

Publish Date
Language
English
Pages
50

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Edition Availability
Cover of: Institutional investors and stock market volatility
Institutional investors and stock market volatility
2005, National Bureau of Economic Research
in English

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Book Details


Edition Notes

"October 2005."

Includes bibliographical references (p. 33-43).

Also available in PDF from the NBER world wide web site (www.nber.org).

Published in
Cambridge, Mass
Series
NBER working paper paper series -- no. 11722., Working paper series (National Bureau of Economic Research) -- working paper no. 11722.

The Physical Object

Pagination
50 p. :
Number of pages
50

ID Numbers

Open Library
OL17628063M
OCLC/WorldCat
62329740

Source records

Oregon Libraries MARC record

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