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The volatility of investor returns depends not only on the volatility of the stocks investors hold but also on their time-varying capital exposure to these holdings. We provide comprehensive evidence on the volatility of investor returns using individual stocks, portfolios, and market indexes...
Persistent link: https://www.econbiz.de/10013406496
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The volatility of investor returns depends not only on the volatility of the stocks investors hold but also on their time-varying capital exposure to these holdings. We measure investor returns as dollar-weighted returns (IRRs), and provide comprehensive evidence on the volatility of investor...
Persistent link: https://www.econbiz.de/10012826916
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