Chasing noise

被引：94

作者：

Mendel, Brock ^{[1
]}

Shleifer, Andrei ^{[1
]}

机构：

[1] Harvard Univ, Dept Econ, Littauer Ctr M9, Cambridge, MA 02138 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2012年 / 104卷 / 02期

基金：

美国国家科学基金会;

关键词：

Insiders; Sentiment; Informed trading; SPECULATION; MARKETS; INFORMATION;

D O I：

10.1016/j.jfineco.2011.02.018

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We present a simple model in which rational but uninformed traders occasionally chase noise as if it were information, thereby amplifying sentiment shocks and moving prices away from fundamental values. In the model, noise traders can have an impact on market equilibrium disproportionate to their size in the market. The model offers a partial explanation for the surprisingly low market price of financial risk in the spring of 2007. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：303 / 320

页数：18