Open Access. Powered by Scholars. Published by Universities.®
Finance and Financial Management Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 2 of 2
Full-Text Articles in Finance and Financial Management
Fragmentation And Consolidation Of Dark Order Books, Julia Henker, Thomas Henker, Jay Majtyka
Fragmentation And Consolidation Of Dark Order Books, Julia Henker, Thomas Henker, Jay Majtyka
Thomas Henker
No abstract provided.
Retail Investor Preferences And The Idiosyncratic Volatility Puzzle, Julia Henker, Thomas Henker, Deborah Tan
Retail Investor Preferences And The Idiosyncratic Volatility Puzzle, Julia Henker, Thomas Henker, Deborah Tan
Thomas Henker
We explain the negative relation between idiosyncratic volatility and future stock returns observed by previous researchers. We argue that, based on the observation described in prospect theory, retail investors prefer stocks with a high level of idiosyncratic volatility and are consequently willing to overpay for those stocks. In support of our argument, we find that the negative idiosyncratic-volatility return relation is present in the Australian market, and that this relation is affected by the magnitude of retail trading. The relation is particularly strong when returns and realized volatility are measured at a daily frequency.