Systematic noise

Journal of Financial Markets - Tập 12 - Trang 547-569 - 2009
Brad M. Barber1, Terrance Odean2, Ning Zhu1
1Graduate School of Management, University of California, Davis, CA 95616, USA
2Haas School of Business, University of California, Berkeley, CA 94720, USA

Tài liệu tham khảo

Banz, 1981, The relationship between return and market value of common stocks, Journal of Financial Economics, 9, 3, 10.1016/0304-405X(81)90018-0 Barber, 2009, Just how much do investors lose from trade?, Review of Financial Studies, 22, 609, 10.1093/rfs/hhn046 Barber, 2000, Trading is hazardous to your wealth: the common stock investment performance of individual investors, Journal of Finance, 55, 773, 10.1111/0022-1082.00226 Barber, 2008, All that glitters: the effect of attention on the buying behavior of individual and institutional investors, Review of Financial Studies, 21, 785, 10.1093/rfs/hhm079 Barber, B., Odean, T., Strahilewitz, M., 2004. Once burned, twice shy: how naïve learning and counterfactuals affect the repurchase of stocks previously sold, Working Paper, 〈http://ssrn.com/abstract=611267〉. Barber, 2009, Do retail trades move markets?, Review of Financial Studies, 22, 151, 10.1093/rfs/hhn035 Benartzi, 2001, Excessive extrapolation and the allocation of 401(k) accounts to company stock?, Journal of Finance, 56, 1747, 10.1111/0022-1082.00388 Benartzi, 2001, Naive diversification strategies in retirement saving plans, American Economic Review, 91, 79, 10.1257/aer.91.1.79 Berk, 1995, A critique of size-related anomalies, Review of Financial Studies, 8, 275, 10.1093/rfs/8.2.275 Bikhchandani, 1992, A theory of fads, fashion, custom, and cultural change as informational cascades, The Journal of Political Economy, 100, 992, 10.1086/261849 Black, 1986, Noise, Journal of Finance, 41, 529, 10.2307/2328481 Bossaerts, P., Ghiradato, P., Guarnaschelli, S., Zame, W., 2007. Ambiguity and asset prices: an experimental perspective. Caltech working paper. Brown, S., Goetzmann, W., Hirake, T., Shiraishi, N., Watanabe, M., 2003. Investor sentiment in Japanese and U.S. daily mutual fund flows, NBER working paper 9470. Cohen, R., 1999. Asset allocation decisions of individuals and institutions. Harvard Business School Working Paper 03-107. DeBondt, 1985, Does the stock market overreact? Preview, Journal of Finance, 40, 793, 10.2307/2327804 DeBondt, 1987, Further Evidence On Investor Overreaction and Stock Market Seasonability. Preview, Journal of Finance, 42, 557, 10.2307/2328371 DeLong, 1990, Noise trader risk in financial markets, Journal of Political Economy, 98, 703, 10.1086/261703 Dhar, 2006, Up close and personal: an individual level analysis of the disposition effect, Management Science, 52, 726, 10.1287/mnsc.1040.0473 Dorn, 2008, Correlated trading and returns, Journal of Finance, 63, 885, 10.1111/j.1540-6261.2008.01334.x Ellis, 2000, The accuracy of trade classification rules: evidence from Nasdaq, Journal of Financial and Quantitative Analysis, 35, 529, 10.2307/2676254 Feng, 2004, Correlated trading and location, Journal of Finance, 59, 2117, 10.1111/j.1540-6261.2004.00694.x Genesove, 2001, Nominal loss aversion and seller behavior: evidence from the housing market, Quarterly Journal of Economics, 116, 1233, 10.1162/003355301753265561 Goetzmann, 2008, Equity portfolio diversification, Review of Finance, 12, 433, 10.1093/rof/rfn005 Goetzmann, 2003, Index funds and stock market growth, The Journal of Business, 76, 1, 10.1086/344111 Grinblatt, 2001, What makes investors trade?, Journal of Finance, 56, 589, 10.1111/0022-1082.00338 Grinblatt, 1995, Momentum investment strategies, portfolio performance, and herding: a study of mutual fund behavior, American Economic Review, 85, 1088 Heath, 1999, Psychological factors and stock option exercise, Quarterly Journal of Economics, 114, 601, 10.1162/003355399556089 Jackson, A., 2004. The aggregate behaviour of individual investors. Working Paper, 〈http://ssrn.com/abstract=536942〉. Kaniel, 2008, Individual investor trading and stock returns, Journal of Finance, 63, 1437, 10.1111/j.1540-6261.2008.01316.x Kyle, 1985, Continuous auctions and insider trading, Econometrica, 53, 1315, 10.2307/1913210 Kumar, A., 2007. Dynamic style preferences of individual investors and stock returns. Journal of Financial and Quantitative Analysis, forthcoming. Kumar, 2006, Retail investor sentiment and return comovements, Journal of Finance, 61, 2451, 10.1111/j.1540-6261.2006.01063.x Lakonishok, 1992, The impact of institutional trading on stock prices, Journal of Financial Economics, 32, 23, 10.1016/0304-405X(92)90023-Q Lee, 1991, Inferring trade direction from intraday data, Journal of Finance, 46, 733, 10.2307/2328845 Lewellen, 1974, The individual investor: attributes and attitudes, Journal of Finance, 29, 413, 10.2307/2978811 Locke, 2005, Professional trader discipline and trade disposition, Journal of Financial Economics, 76, 401, 10.1016/j.jfineco.2004.01.004 Odean, 1998, Are investors reluctant to realize their losses?, Journal of Finance, 53, 1775, 10.1111/0022-1082.00072 Odean, 1999, Do investors trade too much?, American Economic Review, 89, 1279, 10.1257/aer.89.5.1279 Scharfstein, 1990, Herd behavior and investment, American Economic Review, 80, 465 Shapira, 2001, Patterns of behavior of professionally managed and independent investors, Journal of Banking and Finance, 25, 1573, 10.1016/S0378-4266(00)00139-4 Shefrin, 1985, The disposition to sell winners too early and ride losers too long: theory and evidence, Journal of Finance, 40, 777, 10.2307/2327802 Shleifer, 1990, The noise trader approach to finance, Journal of Economic Perspectives, 4, 19, 10.1257/jep.4.2.19 Shleifer, 2000 Sias, 2004, Institutional herding, Review of Financial Studies, 17, 165, 10.1093/rfs/hhg035 Tversky, 1974, Judgment under uncertainty: heuristics and biases, Science, 185, 1124, 10.1126/science.185.4157.1124 Welch, 1992, Sequential sales, learning and cascades, Journal of Finance, 47, 695, 10.2307/2329120 Wermers, 1999, Mutual fund trading and the impact on stock prices, Journal of Finance, 54, 581, 10.1111/0022-1082.00118