search query: @author Kelly, M. / total: 5
reference: 2 / 5
| Author: | Kelly, M. |
| Title: | Do Noise Traders Influence Stock Prices |
| Journal: | Journal of Money, Credit and Banking
1997 : AUG, Vol. 29:3, p. 351-361 |
| Index terms: | SHARE PRICES INVESTMENTS INDIVIDUAL BEHAVIOUR |
| Language: | eng |
| Abstract: | This paper tests a smart money-noise trader model directly by comparing its predictions with the behavior of actual investors. It assumes that individual probability of being a noise trader is diminishing in income: high-income households are smart money, lower-income households are noise traders, with passive investors in between. Market data behave as predicted: high participation by the general population is a negative predictor of one-year returns, and is associated with low participation by very high-income groups. The implications for the equity premium puzzle of the low returns earned by noise traders are discussed. |
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