Year: 2011
Author: Jaron, Martin
Credit and Capital Markets – Kredit und Kapital, Vol. 44 (2011), Iss. 1 : pp. 105–128
Abstract
Noise Trading in Returns of Dual-Class Shares
The importance of noise trading is analysed for returns of a group of common and preferred stocks within the DAX. Returns of long-short portfolios comprising dual-class shares with one class listed in the index display excess co-movement with the market. Assuming that dual-class shares are fundamentally identical in the absence of a market for corporate control, it is possible to explain 80% of weekly return variation between the two share classes. The conditional volatility of such long-short portfolio returns ranges from 0,6% to 5,8% per week. Noise trader risk rather than market friction seems to account for these results.
Journal Article Details
Publisher Name: Global Science Press
Language: German
DOI: https://doi.org/10.3790/kuk.44.1.105
Credit and Capital Markets – Kredit und Kapital, Vol. 44 (2011), Iss. 1 : pp. 105–128
Published online: 2011-01
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 24
Author Details
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