haku: @author Bradford de Long, J. / yhteensä: 2
viite: 2 / 2
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| Tekijä: | Bradford de Long, J. Shleifer, A. Summers, L. A. |
| Otsikko: | The size and incidence of the losses from noise trading. |
| Lehti: | Journal of Finance
1989 : JUL, VOL. 44:3, p. 681-696 |
| Asiasana: | SHARE PRICES FINANCIAL MODELS |
| Kieli: | eng |
| Tiivistelmä: | A significant amount of volatility in stock prices cannot be explained by changes in fundamentals; one interpretation is that asset prices respond not only to news but also to irrational "noise trading". The welfare effects and incidence of such noise trading is assessed using an overlapping generations model that gives investors short horizons. It is found that the additional risk generated by noise trading can reduce the capital stock and consumption of the economy, and that part of that cost may be borne by rational investors. It is concluded that the welfare costs of noise trading may be large if the magnitude of noise in aggregate stock prices is large. |
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