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Dow, James - 2006

Noise traders are agents whose theoretical existence has been hypothesized as a way of solving certain fundamental problems in Financial Economics. We briefly review the literature on noise traders. The is an entry for The New Palgrave: A Dictionary of Economics, 2nd Edition (Palgrave Macmillan:...

Persistent link: https://www.econbiz.de/10012466412

Equilibrium Asset Prices Under Imperfect Corporate Control

Dow, James - 2003

version of the separation of ownership and control -- Jensen's (1986) free cash flow theory--into a dynamic equilibrium model …-building managers who prefer to invest all free cash flow rather than distributing it to shareholders. Sharefholders are aware of this …

Persistent link: https://www.econbiz.de/10012468940

Style Investing

Barberis, Nicholas - 2000

We study asset prices in an economy where some investors classify risky assets into different styles and move funds back and forth between these styles depending on their relative performance. Our assumptions imply that news about one style can affect the prices of other apparently unrelated...

Persistent link: https://www.econbiz.de/10012470692

Stock Market Efficiency and Economic Efficiency : Is There a Connection?

Dow, James - 1995

'informationally efficient' prices in the economy, have no direct role in the allocation of equity capital since managers have … efficiency? We present a model of the stock market in which: (i) managers have discretion in making investments and must be given … the right incentives; and (ii) stock market traders may have important information that managers do not have about the …

Persistent link: https://www.econbiz.de/10012473644

Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing

Dow, James - 1993

This paper presents a simple general equilibrium model of asset pricing in which profitable informed trading can occur without any "noise" added to the model. It shows that models of profitable informed trading must restrict the portfolio choices of uninformed traders: in particular, they cannot...

Persistent link: https://www.econbiz.de/10012474643

Arbitrage Chains

Dow, James - 1993

In efficient markets the price should reflect the arrival of private information. The mechanism by which this is accomplished is arbitrage. A privately informed trader will engage in costly arbitrage, that is, trade on his knowledge that the price of an asset is different from the fundamental...

Persistent link: https://www.econbiz.de/10012474644

Investor Sentiment and the Closed-End Fund Puzzle

Lee, Charles - 1990

individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds …

Persistent link: https://www.econbiz.de/10012475562

Positive Feedback Investment Strategies and Destabilizing Rational Speculation

De Long, J. Bradford - 1989

Analyses of the role of rational speculators in financial markets usually presume that such investors dampen price fluctuations by trading against liquidity or noise traders. This conclusion does not necessarily hold when noise traders follow positive-feedback investment strategies buy when...

Persistent link: https://www.econbiz.de/10012476174

The Economic Consequences of Noise Traders

De Long, J. Bradford - 1987

The claim that financial markets are efficient is backed by an implicit argument that misinformed "noise traders" can have little influence on asset prices in equilibrium. If noise traders' beliefs are sufficiently different from those of rational agents to significantly affect prices, then...

Persistent link: https://www.econbiz.de/10012476673

Finance and the Preservation of Wealth

Gennaioli, Nicola - 2013

We introduce the model of asset management developed in Gennaioli, Shleifer, and Vishny (2012) into a Solow-style neoclassical growth model with diminishing returns to capital. Savers rely on trusted intermediaries to manage their wealth (claims on capital stock), who can charge fees above costs...

Persistent link: https://www.econbiz.de/10012459544