| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2875 |
| 来源ID | Working Paper 2875 |
| The Size and Incidence of the Losses from Noise Trading | |
| J. Bradford De Long; Andrei Shleifer; Lawrence H. Summers; Robert J. Waldmann | |
| 发表日期 | 1989-03-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | Recent empirical research has identified a significant amount of volatility in stock prices that cannot be easily explained by changes in fundamentals; one interpretation is that asset prices respond not only to news but also to irrational "noise trading." We assess the welfare effects and incidence of such noise trading using an overlapping-generations model that gives investors short horizons. We find that the additional risk generated by noise trading can reduce the capital stock and consumption of the economy, and we show that part of that cost may be borne by rational investors. We conclude that the welfare costs of noise trading may be large if the magnitude of noise in aggregate stock prices is as large as suggested by some of the recent empirical literature on the excess volatility of the market. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w2875 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560144 |
| 推荐引用方式 GB/T 7714 | J. Bradford De Long,Andrei Shleifer,Lawrence H. Summers,et al. The Size and Incidence of the Losses from Noise Trading. 1989. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2875.pdf（253KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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