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.
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:
Download or read book The Survival of Noise Traders in Financial Markets written by and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
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:
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:
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
Download or read book The Survival of Noise Traders in Fionancial Markets written by and published by . This book was released on 1991 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
Download or read book Essays on Noise Traders Risk in Financial Markets written by Omri Ross and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Noise written by Alex Preda and published by University of Chicago Press. This book was released on 2017-03-01 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: We often think of finance as a glamorous world, a place where investment bankers amass huge profits in gleaming downtown skyscrapers. There’s another side to finance, though—the millions of amateurs who log on to their computers every day to make their own trades. The shocking truth, however, is that less than 2% of these amateur traders make a consistent profit. Why, then, do they do it? In Noise, Alex Preda explores the world of the people who trade even when by all measures they would be better off not trading. Based on firsthand observations, interviews with traders and brokers, and on international direct trading experience, Preda’s fascinating ethnography investigates how ordinary people take up financial trading, how they form communities of their own behind their computer screens, and how electronic finance encourages them to trade more and more frequently. Along the way, Preda finds the answer to the paradox of amateur trading—the traders aren’t so much seeking monetary rewards in the financial markets, rather the trading itself helps them to fulfill their own personal goals and aspirations.
Download or read book Noise Trading and the Management of Operational Risk Firms Traders and Irrationality in Financial Markets written by Paul Willman and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Efficient market models cannot explain the high level of trading in financial markets in terms of asset portfolio adjustment. It is presumed that much of this excessive trading is irrational noise trading. A corollary is that there must either be irrational traders in the market or rational traders with irrational aberrations. The paper reviews the various attempts to explain noise trading in the finance literature, concluding that the persistence of irrationality is not well explained. Data from a study of 118 traders in four large investment banks are presented to advance reasons why traders might seek to trade more frequently than financial models predict. The argument is advanced that trades do not simply occur in order to generate profit, but it does not follow that such trading is irrational. Trading may generate information, accelerate learning, create commitments and enhance social capital, all of which sustain traders` long term survival in the market. The paper treats noise trading as a form of operational risk facing firms operating in financial markets and discusses approaches to the management of such risk.
Download or read book Noise Trader Risk in Financial Markets written by and published by . This book was released on 1988 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Download or read book ON THE SURVIVAL OF OVERCONFIDENT TRADERS IN A COMPETITIVE SECURITIES MARKET written by DAVID HIRSHEIFER and published by . This book was released on with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
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:
