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Author : Pier Luigi Sacco
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (262 download)
Download or read book Noise Traders Permanence in Stock Markets written by Pier Luigi Sacco and published by . This book was released on 1992 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pier Luigi Sacco
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (12 download)
Download or read book Noise Traders Permanence in Stock Markets written by Pier Luigi Sacco and published by . This book was released on 1991 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pier Luigi Sacco
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (165 download)
Download or read book Noise traders permanence in stock markets written by Pier Luigi Sacco and published by . This book was released on 1992 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pier L. Sacco
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (433 download)
Download or read book Noise traders permanence in stock markets written by Pier L. Sacco and published by . This book was released on 1992 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lee Scott Redding
Publisher : International Monetary Fund
ISBN 13 : 1451947968
Total Pages : 16 pages
Book Rating : 4.4/5 (519 download)
Download or read book Noise Traders and Herding Behavior written by Lee Scott Redding and published by International Monetary Fund. This book was released on 1996-09-01 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Pier Luigi Sacco
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.F/5 ( download)
Download or read book Noise Traders Permanence in Stock Markets written by Pier Luigi Sacco and published by . This book was released on 1992 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (951 download)
Download or read book Noisy Traders Permanence in Stock Markets written by and published by . This book was released on 1992 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joel Peress
Publisher :
ISBN 13 :
Total Pages : 117 pages
Book Rating : 4.:/5 (13 download)
Download or read book Glued to the TV written by Joel Peress and published by . This book was released on 2019 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the impact of noise traders' limited attention on financial markets. We exploit episodes of sensational news (exogenous to the market) that distract noise traders. On “distraction days”, trading activity, liquidity, and volatility decrease, and prices reverse less among stocks owned predominantly by noise traders. These outcomes contrast sharply with those that result from the inattention of informed speculators and market makers, and are consistent with noise traders mitigating adverse selection risk. We discuss the evolution of these outcomes over time and the influence of technological changes.
Author : J. Bradford De Long
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.0/5 ( download)
Download or read book The Survival of Noise Traders in Financial Markets written by J. Bradford De Long and published by . This book was released on 1988 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use the revised estimates of U.S. GNP constructed by Christina Romer (1989) to assess the time-series properties of U.S. output per capita over the past century. We reject at conventional significance levels the null that output is a random walk in favor of the alternative that output is a stationary autoregressive process about a linear deterministic trend. The difference between the lack of persistence of output shocks either before WWII or over the entire century, on the one hand, and the strong signs of persistence of output shocks found by Campbell and Mankiw (1987) and by Nelson and Plosser (1982) for more recent periods is striking. It suggests to us a Keynesian interpretation of the large unit root in post-WWII U.S. output: perhaps post-WWII output shocks appear persistent because automatic stabilizers and other demand-management policies have substantially damped the transitory fluctuations that made up the pre-WWH Bums-Mitchell business cycle.
Author : Robert J. Bloomfield
Publisher :
ISBN 13 :
Total Pages : 63 pages
Book Rating : 4.:/5 (129 download)
Download or read book How Noise Trading Affects Markets written by Robert J. Bloomfield and published by . This book was released on 2007 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use a laboratory market to investigate the behavior of noise traders and their impact on the market. Our experiment features informed traders (who possess fundamental information), liquidity traders (who have to trade for exogenous reasons), and noise traders (who do not possess fundamental information and have no exogenous reasons to trade). We find differences in behavior between liquidity traders and noise traders, justifying their separate treatment. We find that noise traders exert some positive effects on market liquidity: volume and depths are higher and spreads are lower. We provide evidence suggesting that the main effect of the liquidity-enhancing trading strategies of the noise traders is to weaken price reversals (decreasing the temporary price impact of market orders) rather than to reduce the permanent price impact of trades (as liquidity traders supposedly do in market microstructure models with information asymmetry). We find that noise traders adversely affect the informational efficiency of the market, but only when the extent of adverse selection is large (i.e., when informed traders have very valuable private information). Finally, we examine how trader behavior and certain market quality measures are affected by a transaction tax. Although such taxes do reduce noise trader activity, they take a toll on informed trading as well. As a result, while taxes reduce volume, they do not affect spreads and price impact measures, and have at most a weak effect on the informational efficiency of prices.
Author : J. Bradford De Long
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (715 download)
Download or read book The Economic Consequences of Noise Traders written by J. Bradford De Long and published by . This book was released on 1987 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Pier Luigi Sacco
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (263 download)
Download or read book Noise traders permanence in stock markets written by Pier Luigi Sacco and published by . This book was released on 1992 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stephan Brunner
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (859 download)
Download or read book Noise Traders in Financial Markets written by Stephan Brunner and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frederic Palomino
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.F/5 ( download)
Download or read book Noise Trading in Small Markets written by Frederic Palomino and published by . This book was released on 1994 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Timothy E. Jares
Publisher :
ISBN 13 :
Total Pages : 534 pages
Book Rating : 4.:/5 (397 download)
Download or read book The Survival and Consequences of Noise Traders in Financial Markets written by Timothy E. Jares and published by . This book was released on 1998 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. Bradfort de Long
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (129 download)
Download or read book The survival of noise traders in financial markets written by J. Bradfort de Long and published by . This book was released on 1988 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carol Lee Osler
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (396 download)
Download or read book Identifying Noise Traders written by Carol Lee Osler and published by . This book was released on 1998 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
