Market Segmentation And Noise Trader Risk
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Author | : Vihang R. Errunza |
Publisher | : |
Total Pages | : 14 |
Release | : 2000 |
Genre | : |
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Download Market Segmentation and Noise Trader Risk Book in PDF, Epub and Kindle
A simple asset pricing model is developed to take into account two important characteristics in global investments: market segmentation and noise trader risk. Our results show the removal of international investment barriers and cross-border listings have not led to a fully integrated international capital market. We also show that different degree of investor rationality across borders induces an additional component of risk premium which is related to the quot;noise spill-over effectquot.
Author | : |
Publisher | : |
Total Pages | : 48 |
Release | : 1988 |
Genre | : Capitalists and financiers |
ISBN | : |
Download Noise Trader Risk in Financial Markets Book in PDF, Epub and Kindle
Author | : Andrew Jackson |
Publisher | : |
Total Pages | : |
Release | : 2003 |
Genre | : |
ISBN | : |
Download Noise Trader Risk Exists . . . But the Noise Traders are Not Who You Think They are Book in PDF, Epub and Kindle
Using a unique dataset of individual investor trades, this paper examines whether there is evidence of noise trader risk in a broad equity market context. The paper finds evidence of excess volatility and excess correlations between stocks. Additionally factor-pricing tests reveal strong evidence of a significant priced noise trader factor in returns. The paper concludes that there is evidence of noise trader risk, however this risk is not associated with individual investors, but instead with institutional investors. Institutional frictions such as common investment strategies, performance related mutual fund flows and career concerns are a much more plausible source of noise trader risk than is individual investor sentiment.
Author | : Chris D. Birkel |
Publisher | : |
Total Pages | : |
Release | : 1997 |
Genre | : |
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Download Measuring Equity Market Inefficiency Book in PDF, Epub and Kindle
Author | : Lee Scott Redding |
Publisher | : International Monetary Fund |
Total Pages | : 16 |
Release | : 1996-09-01 |
Genre | : Business & Economics |
ISBN | : 1451947968 |
Download Noise Traders and Herding Behavior Book in PDF, Epub and Kindle
Recent developments in financial economics have included many explorations into market microstructure, that is, the internal functioning of markets and the ways in which they provide liquidity to traders. An important contribution of this literature is that prices can deviate from their fundamental values. This paper describes models of imperfect liquidity and improperly processed information in financial markets, focusing on the noise trader and investor herding literature. The motivations for this line of research are presented, followed by a description of some of the major contributions and tests of some of their empirical implications.
Author | : Sang Keun Oh |
Publisher | : |
Total Pages | : 408 |
Release | : 1991 |
Genre | : |
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Download Three Essays on the Macroeconomic Implications of Noise Trader Risk in Financial Markets Book in PDF, Epub and Kindle
Author | : J. Bradford De Long |
Publisher | : |
Total Pages | : 44 |
Release | : 1987 |
Genre | : Capitalists and financiers |
ISBN | : |
Download The Economic Consequences of Noise Traders Book in PDF, Epub and Kindle
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 noise traders will buy high and sell low. They will then lose money relative to rational investors and eventually be eliminated from the market. We present a simple overlapping-generations model of the stock market in which noise traders with erroneous and stochastic beliefs (a) significantly affect prices and (b) earn higher returns than do rational investors. Noise traders earn high returns because they bear a large amount of the market risk which the presence of noise traders creates in the assets that they hold: their presence raises expected returns because sophisticated investors dislike bearing the risk that noise traders may be irrationally pessimistic and push asset prices down in the future. The model we present has many properties that correspond to the "Keynesian" view of financial markets. (i) Stock prices are more volatile than can be justified on the basis of news about underlying fundamentals. (ii) A rational investor concerned about the short run may be better off guessing the guesses of others than choosing an appropriate P portfolio. (iii) Asset prices diverge frequently but not permanently from average values, giving rise to patterns of mean reversion in stock and bond prices similar to those found directly by Fama and French (1987) for the stock market and to the failures of the expectations hypothesis of the term structure. (iv) Since investors in assets bear not only fundamental but also noise trader risk, the average prices of assets will be below fundamental values; one striking example of substantial divergence between market and fundamental values is the persistent discount on closed-end mutual funds, and a second example is Mehra and Prescott's (1986) finding that American equiti
Author | : Frederic Palomino |
Publisher | : |
Total Pages | : 40 |
Release | : 1994 |
Genre | : Markets |
ISBN | : |
Download Noise Trading in Small Markets Book in PDF, Epub and Kindle
Author | : ZhiMing Zhang |
Publisher | : |
Total Pages | : 302 |
Release | : 1992 |
Genre | : |
ISBN | : |
Download Market Making and Informed Trading in a Noisy Financial Market Book in PDF, Epub and Kindle
Author | : Peter Joakim Westerholm |
Publisher | : World Scientific |
Total Pages | : 267 |
Release | : 2018-11-29 |
Genre | : Business & Economics |
ISBN | : 9813234113 |
Download Lecture Notes In Market Microstructure And Trading Book in PDF, Epub and Kindle
This book, written by Joakim Westerholm, Professor of Finance and former trading professional, is intended to be used as basis for developing courses in Securities markets, Trading, and Market microstructure and connects theoretic rigor with practical real world applications.Market technology evolves, the roles of market participants change, and whole market segments disappear to be replaced by new ways to exchange securities. Yet, the same underlying economic principles continue to drive trading in securities markets. Thus, the scope of the book is global, providing a framework that is relevant both for current market designs and for future markets we will see develop. It is designed to stay relevant in a rapidly evolving field.The book contains a selection of lecture notes through which students will gain an in-depth understanding of the mechanism that drives trading in securities markets. The book also contains another set of lecture notes with more advanced, research-based material, suitable for Honours or Master level research students, or for PhD candidates. The material is self-explanatory and can also be used for self-study, preferably in conjunction with assigned readings.