Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki - In: The Quarterly Journal of Economics 121 (2006) 2, pp. 461-504
We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid markets. Such trades generate significant spikes in returns and volume, even in the absence of important news about fundamentals. We...