Feedback and the success of irrational investors

• 成果类型: Article
• 署名作者: Hirshleifer, David; Subrahmanyam, Avanidhar; Titman, Sheridan
• 署名单位: University of Texas System; University of Texas Austin; University System of Ohio; Ohio State University; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.05.006
• 发表日期: 2006
• 页码: 311-338
• 关键词: investor psychology; market efficiency; feedback; irrational trading; behavioral finance

摘要

We provide a model in which irrational investors trade based upon considerations that have no inherent connection to fundamentals. However, trading activity affects market prices, and because of feedback from security prices to cash flows, the irrational trades influence underlying cash flows. As a result, irrational investors can, in some situations, earn abnormal (i.e., risk-adjusted) profits that can exceed the abnormal profits of rational informed investors. Although the trading of irrational investors cause prices to deviate from fundamental values, stock prices follow a random walk. (c) 2005 Published by Elsevier B.V.