Individual Investors and Volatility
研究发现散户交易活动会推高股票收益波动率，表明散户是噪声交易者；利用法国股市改革识别因果效应，改革后受影响股票的日波动率下降20个基点，同时收益反转幅度和交易价格冲击也显著降低。
ABSTRACT We show that retail trading activity has a positive effect on the volatility of stock returns, which suggests that retail investors behave as noise traders. To identify this effect, we use a reform of the French stock market that raises the relative cost of speculative trading for retail investors. The daily return volatility of the stocks affected by the reform falls by 20 basis points (a quarter of the sample standard deviation of the return volatility) relative to other stocks. For affected stocks, we also find a significant decrease in the magnitude of return reversals and the price impact of trades.