انواع سرمایه گذاران و نوسانات بازگشت سهام

The purpose of this paper is twofold: investigate how different types of investors affect stock return volatility, and provide some explanations based on investors’ trading behavior. Norway provides an excellent setting with monthly holding data of all investors on all listed firms over a period of 15 years. The results show that foreign investors increase stock return volatility because they trade the most, are momentum traders, and have the shortest investment horizon. In contrast, individual investors reduce stock return volatility because they trade the least, are contrarian traders, and have the longest investment horizon. Domestic institutional investors fall in-between these extremes.