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IT HAS BEEN COMMONLY NOTED that the variance of stock market returns differs considerably from stock to stock, across exchanges, and among countries. This paper seeks to determine empirically the importance of "thinness" in explaining such differences. We essentially regard thinness as being inversely related to the size of the market for the equity shares of a particular corporation. More specifically, we call the market for a particular stock thin when its floating supply (number of shares outstanding less insider holding) and/or its price per share are relatively low.The issue of thinness is of interest for a number of reasons. To the extent that shareholders do not diversify their portfolios so as to effectively eliminate all diversifiable risk, thinness in the markets for individual issues can increase the cost of capital for individual firms. This suggests that, if thinness contributes to returns variance, a firm will realize a financial economy of scale as it becomes larger. The undesirability of thinness-induced variance for risk averse investors further suggests that investors will select securities with reference to thinness, as well as to inherent investment profitability. Also, to the extent that thinness adds to variance, differences among investors in liquidity needs are expected to generate a "clientele" effect.Factors in addition to market thinness also contribute to returns variance. The most obvious are changes in the fundamental determinants of share price (e.g., expectations of earnings per share) and of a firm's business and financial risk. We attempt to account for this by distinguishing between random tenders-induced demand shifts (which are thinness related) and demand shifts induced by the receipt of new and generally available information concerning a stock's value (which are not thinness related). We then show that, with the thinness measures held constant, a security's turnover ratio (TOR), the number of shares traded divided by the stock's floating supply (FS), can be used to proxy the receipt of new information.We also note that across exchanges (and especially internationally) differences in trading arrangements might explain some of the volatility differences we have * The authors' affiliations are: Cohen,

The goal of this study is to test the disposition effect, the tendency of investors to sell winning investments too soon and hold losing investments too long, by analyzing all Brazilian equity fund portfolios from November 2003 to March 2008. The analysis based on the number of trades shows that equity funds are subject to the disposition effect. On the other hand, contrary to evidence from the American stock market, when the analysis is based on trading volume, the disposition effect is not found. Finally, the disposition effect is strongest in funds open to non-qualified investors.