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 d...
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11722 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "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. |
| Beschreibung: | 50 S. graph. Darst. |
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV021445363 | ||
| 003 | DE-604 | ||
| 005 | 20090625 | ||
| 007 | t | ||
| 008 | 060220s2005 xxud||| |||| 00||| eng d | ||
| 035 | |a (OCoLC)62329740 | ||
| 035 | |a (DE-599)BVBBV021445363 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-703 |a DE-521 |a DE-19 | ||
| 050 | 0 | |a HB1 | |
| 084 | |a QB 910 |0 (DE-625)141231: |2 rvk | ||
| 245 | 1 | 0 | |a Institutional investors and stock market volatility |c Xavier Gabaix ... |
| 264 | 1 | |a Cambridge, Mass. |b National Bureau of Economic Research |c 2005 | |
| 300 | |a 50 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 11722 | |
| 520 | 3 | |a "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. | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Institutional investments | |
| 650 | 4 | |a Stocks |x Prices |x Econometric models | |
| 700 | 1 | |a Gabaix, Xavier |e Sonstige |0 (DE-588)131457594 |4 oth | |
| 700 | 1 | |a Gopikrishnan, Parameswaran |e Sonstige |0 (DE-588)131457608 |4 oth | |
| 700 | 1 | |a Plerou, Vasiliki |e Sonstige |0 (DE-588)131457616 |4 oth | |
| 700 | 1 | |a Stanley, H. Eugene |d 1941- |e Sonstige |0 (DE-588)124434851 |4 oth | |
| 776 | 0 | 8 | |i Erscheint auch als |n Internetausgabe |
| 830 | 0 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 11722 |w (DE-604)BV002801238 |9 11722 | |
| 856 | 4 | 1 | |u http://papers.nber.org/papers/w11722.pdf |z kostenfrei |3 Volltext |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-014662351 | ||
Datensatz im Suchindex
| _version_ | 1804135160565727232 |
|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| author_GND | (DE-588)131457594 (DE-588)131457608 (DE-588)131457616 (DE-588)124434851 |
| building | Verbundindex |
| bvnumber | BV021445363 |
| callnumber-first | H - Social Science |
| callnumber-label | HB1 |
| callnumber-raw | HB1 |
| callnumber-search | HB1 |
| callnumber-sort | HB 11 |
| callnumber-subject | HB - Economic Theory and Demography |
| classification_rvk | QB 910 |
| ctrlnum | (OCoLC)62329740 (DE-599)BVBBV021445363 |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02108nam a2200409 cb4500</leader><controlfield tag="001">BV021445363</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20090625 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">060220s2005 xxud||| |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)62329740</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV021445363</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-703</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-19</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB1</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QB 910</subfield><subfield code="0">(DE-625)141231:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Institutional investors and stock market volatility</subfield><subfield code="c">Xavier Gabaix ...</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="b">National Bureau of Economic Research</subfield><subfield code="c">2005</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">50 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">11722</subfield></datafield><datafield tag="520" ind1="3" ind2=" "><subfield code="a">"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.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Ökonometrisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Institutional investments</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Stocks</subfield><subfield code="x">Prices</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Gabaix, Xavier</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)131457594</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Gopikrishnan, Parameswaran</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)131457608</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Plerou, Vasiliki</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)131457616</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Stanley, H. Eugene</subfield><subfield code="d">1941-</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)124434851</subfield><subfield code="4">oth</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Internetausgabe</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">11722</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">11722</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://papers.nber.org/papers/w11722.pdf</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-014662351</subfield></datafield></record></collection> |
| id | DE-604.BV021445363 |
| illustrated | Illustrated |
| index_date | 2024-07-02T14:04:24Z |
| indexdate | 2024-07-09T20:36:05Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014662351 |
| oclc_num | 62329740 |
| open_access_boolean | 1 |
| owner | DE-703 DE-521 DE-19 DE-BY-UBM |
| owner_facet | DE-703 DE-521 DE-19 DE-BY-UBM |
| physical | 50 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Institutional investors and stock market volatility Xavier Gabaix ... Cambridge, Mass. National Bureau of Economic Research 2005 50 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11722 "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. Ökonometrisches Modell Institutional investments Stocks Prices Econometric models Gabaix, Xavier Sonstige (DE-588)131457594 oth Gopikrishnan, Parameswaran Sonstige (DE-588)131457608 oth Plerou, Vasiliki Sonstige (DE-588)131457616 oth Stanley, H. Eugene 1941- Sonstige (DE-588)124434851 oth Erscheint auch als Internetausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11722 (DE-604)BV002801238 11722 http://papers.nber.org/papers/w11722.pdf kostenfrei Volltext |
| spellingShingle | Institutional investors and stock market volatility National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Institutional investments Stocks Prices Econometric models |
| title | Institutional investors and stock market volatility |
| title_auth | Institutional investors and stock market volatility |
| title_exact_search | Institutional investors and stock market volatility |
| title_exact_search_txtP | Institutional investors and stock market volatility |
| title_full | Institutional investors and stock market volatility Xavier Gabaix ... |
| title_fullStr | Institutional investors and stock market volatility Xavier Gabaix ... |
| title_full_unstemmed | Institutional investors and stock market volatility Xavier Gabaix ... |
| title_short | Institutional investors and stock market volatility |
| title_sort | institutional investors and stock market volatility |
| topic | Ökonometrisches Modell Institutional investments Stocks Prices Econometric models |
| topic_facet | Ökonometrisches Modell Institutional investments Stocks Prices Econometric models |
| url | http://papers.nber.org/papers/w11722.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT gabaixxavier institutionalinvestorsandstockmarketvolatility AT gopikrishnanparameswaran institutionalinvestorsandstockmarketvolatility AT plerouvasiliki institutionalinvestorsandstockmarketvolatility AT stanleyheugene institutionalinvestorsandstockmarketvolatility |