Systematic noise
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