Séminaires de recherche

"Glued to the TV: The Trading Activity of Distracted Investors"

Finance

Intervenant : Joel Peress
INSEAD

5 mars 2015

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We investigate how distraction affects the trading behavior of retail investors, and ultimately market liquidity. Exploiting episodes of sensational news exogenous to the stock market, we first document that investors stop trading altogether when they are distracted. We report further that these effects are more pronounced for more overconfident–i.e., single-male and active–investors, who are typically viewed as noise traders. We then exploit these sensational news events to study how shocks to noise trading affect the stock market at large and in particular its liquidity. Our results are most consistent with an adverse selection model of price impact, and are weakly supportive of inventory risk models.

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Contacts  

Département Finance 

Campus HEC Paris
1, rue de la Libération
78351 Jouy-en-Josas cedex
France

Faculté  

Evren ORS

Finance (GREGHEC)

Voir le CV

4th Annual HEC Paris Workshop Preliminary Program “Banking, Finance, Macroeconomics and the Real Economy”  


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