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Individual Investors and Volatility
16 references·7 citing·48 second hopsampled
Individual Investors and Volatility (2008)Individual Investors and VolatilitySimple formulas for standard errors that cluster by both firm and time (2010)Simple formulas for standard …Who Gambles in the Stock Market? (2009)Who Gambles in the Stock Mark…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Just How Much Do Individual Investors Lose by Trading? (2008)Just How Much Do Individual I…Individual Investor Trading and Stock Returns (2008)Individual Investor Trading a…Do Retail Trades Move Markets? (2008)Do Retail Trades Move Markets?Costly arbitrage and the myth of idiosyncratic risk (2006)Costly arbitrage and the myth…Online Investors: Do the Slow Die First? (2002)Online Investors: Do the Slow…Dynamic Volume-Return Relation of Individual Stocks (2002)Dynamic Volume-Return Relatio…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …The investment behavior and performance of various investor types: a study of Finland's unique data set (2000)The investment behavior and p…Do Investors Trade Too Much? (1999)Do Investors Trade Too Much?Noise (1986)NoiseA Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Are Retail Traders Compensated for Providing Liquidity? (2014)Are Retail Traders Compensate…The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility (2013)The Impact of the French Secu…Ownership, control and market liquidity (2012)Ownership, control and market…Ownership, Control and Market Liquidity (2012)Ownership, Control and Market…The Tobin Tax: A Review of the Evidence (2011)The Tobin Tax: A Review of th…Aggregate Idiosyncratic Volatility (2010)Aggregate Idiosyncratic Volat…Aggregate Idiosyncratic Volatility (2008)Aggregate Idiosyncratic Volat…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Time Series Analysis, Forecasting, and Control (1995)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Trading and Arbitrage in Cryptocurrency Markets (2018)Advances in prospect theory: Cumulative representation of uncertainty (1992)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)A model of investor sentiment /Investor Psychology and Security Market Under‐ and Overreactions (1998)How Distance, Language, and Culture Influence Stockholdings and Trades (2001)What Makes Investors Trade? (2001)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)The Econometrics of Financial Markets (2012)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Common risk factors in the returns on stocks and bonds (1993)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)On Persistence in Mutual Fund Performance (1997)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Biases in Dynamic Models with Fixed Effects (1981)Low-Latency Trading (2011)High-Frequency Trading and Price Discovery (2014)Corporate Immunity to the COVID-19 Pandemic (2020)The Framing of Decisions and the Psychology of Choice (1981)Continuous Auctions and Insider Trading (1985)Do Demand Curves for Stocks Slope Down? (1986)The Noise Trader Approach to Finance (1990)Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies (1997)
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References

  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 1999Do Investors Trade Too Much?2,245 cited
  • 2009Who Gambles in the Stock Market?1,808 cited
  • 1986Noise1,783 cited
  • 2000The investment behavior and performance of various investor types: a study of Finland's unique data set1,639 cited
  • 2010Simple formulas for standard errors that cluster by both firm and time1,515 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 2008Individual Investor Trading and Stock Returns1,014 cited
  • 2008Just How Much Do Individual Investors Lose by Trading?952 cited
  • 2008Do Retail Trades Move Markets?903 cited
  • 2002Online Investors: Do the Slow Die First?788 cited
  • 2002Dynamic Volume-Return Relation of Individual Stocks689 cited

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2006
Costly arbitrage and the myth of idiosyncratic risk
659 cited

Cited by

  • 2011The Tobin Tax: A Review of the Evidence87 cited
  • 2014Are Retail Traders Compensated for Providing Liquidity?43 cited
  • 2008Aggregate Idiosyncratic Volatility36 cited
  • 2012Ownership, control and market liquidity32 cited
  • 2013The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility27 cited
  • 2010Aggregate Idiosyncratic Volatility26 cited
  • 2012Ownership, Control and Market Liquidity24 cited