Chasing noise

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.

MoreLess

Year of publication:	2012
Authors:	Mendel, Brock ; Shleifer, Andrei
Published in:	Journal of Financial Economics. - Elsevier, ISSN 0304-405X. - Vol. 104.2012, 2, p. 303-320
Publisher:	Elsevier
Subject:	Insiders \| Sentiment \| Informed trading

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Classification:	D84 - Expectations; Speculations ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571692