To summarize, we find that distraction days are associated with reduced liquidity, volatility, and price reversals among stocks owned predominantly by individual investors. Using a simple extension of the Kyle (1985) model, we demonstrate that these findings can be attributed to a common shock—a reduction in noise trading. Indeed, when noise traders exit, market makers face worse adverse selection because they are at greater risk of being “picked off” by informed speculators, and hence liquidity drops. To the extent that inventory risk is priced, the reduction in noise trading also reduces volatility and price reversals.2