Participation costs, trend chasing, and volatility of stock prices

• 成果类型: Article
• 署名作者: Orosel, GO
• 署名单位: University of Vienna
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/11.3.521
• 发表日期: 1998
• 页码: 521
• 关键词: efficient capital-markets; VARIANCE-BOUNDS; mean reversion; asset prices; tests; INFORMATION; equilibrium; returns; money

摘要

We analyze an overlapping generations model with fixed costs of stock market participation. Participation in the stock market is determined endogenously and covaries positively with preceding innovations in dividends, The equilibrium share price is positively related to market participation of the same period and to information about future dividends, There is rational trend chasing in the sense that, although all agents are rational, market participation rises after an increase of the share price and falls after a decrease. Finally, we show that the endogenous fluctuations of market participation lead to increased volatility of the share price.