Department of Economics2024-11-0919970036-929210.1111/1467-9485.000482-s2.0-1142300800http://dx.doi.org/10.1111/1467-9485.00048https://hdl.handle.net/20.500.14288/14853We present evidence that with its emphasis on wide-share-ownership the British privatisation program created heavy involvement of small investors in privatised stocks. Using standard market efficiency tests and maximum likelihood estimates of stationary fractional ARIMA models, we show that the pricing of privatised stocks in the London Stock Exchange was indeed inefficient, unlike the rest of the market. Together, these two pieces of evidence suggest that small investors, behaving like noise-traders, may be generating this inefficiency. Yet, we cannot rule out alternative explanations.EconomicsPolitical scienceJournal Article1467-9485A1997WY90100001Q39655