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Institutional Investors and Stock Market Volatility / Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou, H. Eugene Stanley.
- Format:
- Book
- Author/Creator:
- Gabaix, Xavier.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w11722.
- NBER working paper series no. w11722
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2005.
- Summary:
- 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.
- Notes:
- Print version record
- November 2005.
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