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Noise Trading in Stamm- und Vorzugsaktien
Credit and Capital Markets – Kredit und Kapital, Vol. 44 (2011), Iss. 1 : pp. 105–128
1 Citations (CrossRef)
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Dr. Martin Jaron, Ludwig-Maximilians-Universität München, Institut für Kapitalmarktforschung und Finanzierung, Schackstr. 4, D-80539 München.
Cited By
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Price Discovery in Voting and Non-Voting Stocks
Niehoff, Karin
Schmalenbach Business Review, Vol. 17 (2016), Iss. 3-4 P.285
https://doi.org/10.1007/s41464-016-0021-8 [Citations: 2]
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.