Institutional Investors and Stock Market Volatility
提出理论解释股市过度波动，认为大型机构投资者在流动性不足的市场中交易是主因，即使无基本面新闻也会引发回报和交易量激增，并统一解释了回报、交易量和投资者规模的相关规律。
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.