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Noise Trading in Stamm- und Vorzugsaktien

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Jaron, M. Noise Trading in Stamm- und Vorzugsaktien. Credit and Capital Markets – Kredit und Kapital, 44(1), 105-128. https://doi.org/10.3790/kuk.44.1.105
Jaron, Martin "Noise Trading in Stamm- und Vorzugsaktien" Credit and Capital Markets – Kredit und Kapital 44.1, 2011, 105-128. https://doi.org/10.3790/kuk.44.1.105
Jaron, Martin (2011): Noise Trading in Stamm- und Vorzugsaktien, in: Credit and Capital Markets – Kredit und Kapital, vol. 44, iss. 1, 105-128, [online] https://doi.org/10.3790/kuk.44.1.105

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Noise Trading in Stamm- und Vorzugsaktien

Jaron, Martin

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.

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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.