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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

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

Moral Hazard, Informed Trading, and Stock Prices

Collin-Dufresne, Pierre - 2013

We analyze a model of informed trading where an activist shareholder accumulates shares in an anonymous market and then expends costly effort to increase the firm value. We find that equilibrium prices are affected by the position accumulated by the activist, because the level of effort...

Persistent link: https://www.econbiz.de/10012459042

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

Salience and Asset Prices

Bordalo, Pedro - 2013

We present a simple model of asset pricing in which payoff salience drives investors' demand for risky assets. The key implication is that extreme payoffs receive disproportionate weight in the market valuation of assets. The model accounts for several puzzles in finance in an intuitive way,...

Persistent link: https://www.econbiz.de/10012459953

Do prices reveal the presence of informed trading?

Collin-Dufresne, Pierre - 2012

Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The evidence suggests that when Schedule 13D...

Persistent link: https://www.econbiz.de/10012460208

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Collin-Dufresne, Pierre - 2012

We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochastic. If noise trading volatility is...

Persistent link: https://www.econbiz.de/10012460209

Money Doctors

Gennaioli, Nicola - 2012

investment, and allows managers to charge higher fees to investors who trust them more. Money managers compete for investor funds … by setting their fees, but because of trust the fees do not fall to costs. In the model, 1) managers consistently … involve sharing of expected returns between managers and investors, with higher fees in riskier products, 3) managers pander …

Persistent link: https://www.econbiz.de/10012460486