Individual Investors and Volatility

By Thierry Foucault, David Sraer, David Thesmar. 2011

327 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ce3777fbaf3b18cbe8f3e01bf9517b7e2da3e130

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Rosanne Vanpée
2. Ronnie Sadka
3. P. Sercu

In Finance

1. Rosanne Vanpée
2. Gideon Ozik
3. Siyi Shen
4. I. A. Cooper
5. Ronnie Sadka
6. P. Sercu

Citations in the corpus

• Stock Price Fragility (2011, unknown): “Frazzini and Lamont (2008) show that stocks bought by funds that receive disproportionate inflows underperform in the long run.”
• Can Internet search queries help to predict stock market volatility (2016, unknown): “Our results are also in line with recent empirical evidence by Foucault, Sraer and Thesmar (2011), who - drawing on a natural experiment in France - find that retail investors’ trading activity leads to a higher level of volatility in individual stocks.”
• Individual Investor Perceptions and Behavior During the Financial Crisis (2013, unknown): “2006), return volatility (Foucault et al., 2011), and even the macroeconomy (Korniotis and Kumar, 2011a).”
• Are Retail Traders Compensated for Providing Liquidity (2016, unknown): “These data are also used in Foucault, Sraer, and Thesmar (2011), who study the effect of retail investors on the volatility of stock returns.”
• Aggregate Idiosyncratic Volatility (2012, unknown): “More generally, retail investors can potentially act as noise traders and increase trading volume and volatility (see also Foucault, Sraer, and Thesmar (2011)).”
• Investor Attention and FX Market Volatility (2015, unknown): “Black (1986), De Long et al. (1990), and Foucault et al. (2011), among others, suggest that variation in investor sentiment a ff ects volatility.”
• Flattening the Illiquidity Curve: Retail Trading During the COVID-19 Lockdown (2020, background): “…show that individual investors tend to supply liquidity when institutional liquidity dries up, as during the financial crisis of 2008– 2009 (using the same data, Foucault, Sraer, and Thesmar (2011) show that individual investors tend to decrease stock volatility and the price impact of trades).”
• The Equity Home Bias Puzzle: A Survey (2013, background): “Unlike the Paris forward market studied by Foucault et al. (2011), Brussels’ two tiers co-existed: all stocks on the forward market traded spot too.”
• Informed trading and price discovery before corporate events (2015, unknown): “Euronext’s SRD facility allows short positions in eligible stocks to be established more easily (see Foucault, Sraer, and Thesmar 2011 ).”