Chasing noise

• 成果类型: Article
• 署名作者: Mendel, Brock; Shleifer, Andrei
• 署名单位: Harvard University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.02.018
• 发表日期: 2012
• 页码: 303-320
• 关键词: insiders; Sentiment; Informed trading

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.