The Volatility of Stock Investor Returns

44 Pages Posted: 16 May 2022

See all articles by Ilia D. Dichev

Ilia D. Dichev

Emory University - Department of Accounting

Xin Zheng

University of British Columbia

Multiple version iconThere are 2 versions of this paper

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

Suggested Citation

Dichev, Ilia D. and Zheng, Xin, The Volatility of Stock Investor Returns. Available at SSRN: https://ssrn.com/abstract=4111417 or http://dx.doi.org/10.2139/ssrn.4111417

Ilia D. Dichev (Contact Author)

Emory University - Department of Accounting ( email )

1300 Clifton Road
Atlanta, GA 30322-2722
United States

Xin Zheng

University of British Columbia ( email )

2053 Main Mall
Vancouver, B.C. V6T 1Z2
Canada

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