Chasing noise
By: Brock Mendel, Andrei Shleifer
Contributors: Shleifer, Andrei; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16042; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16042.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "We present a simple model in which rational but uninformed traders occasionally chase noise as if it were information, thereby amplifying sentiment shocks and moving prices away from fundamental values.  We fill a theoretical gap in the literature by showing conditions under which noise traders can have an impact on market equilibrium disproportionate to their size in the market.  The model offers a partial explanation for the surprisingly low market price of financial risk in the Spring of 2007"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/15/2010.

Includes bibliographical references.

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