SMART MONEY, NOISE TRADING AND STOCK-PRICE BEHAVIOR

• 成果类型: Article
• 署名作者: CAMPBELL, JY; KYLE, AS
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.2307/2297810
• 发表日期: 1993
• 页码: 1-34
• 关键词: variance bounds tests; time-series; financial-markets; asset returns; unit-root; volatility; models; consumption; RISK; Dividends

摘要

This paper estimates an equilibrium model of stock price behaviour in which changes in exponentially de-trended dividends and prices are normally distributed and exogenous ''noise traders'' interact with ''smart-money'' investors who have constant absolute risk aversion. The model can explain the volatility and predictability of U.S. stock returns in the period 1871-1986 using either a low discount rate (4% or below) and a large constant risk discount on the stock price, or a higher discount rate (5% or above) and noise trading correlated with fundamentals. The data are not well able to distinguish between these explanations.