The Volatility of Stock Investor Returns
44 Pages Posted: 16 May 2022
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The Volatility of Stock Investor Returns
Abstract
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 from the U.S. and major international stock markets. Our main finding is that the volatility of investor returns is higher than the corresponding volatility of stock returns in nearly all specifications. The relative magnitude of the volatility differential varies from as little as 10% and up to 75%, where this differential tends to increase with investment horizon.
Keywords: Stock returns, volatility, investor returns
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