| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9434 |
| 来源ID | Working Paper 9434 |
| The Price Impact and Survival of Irrational Traders | |
| Leonid Kogan; Stephen Ross; Jiang Wang; Mark Westerfield | |
| 发表日期 | 2003-01-13 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | Milton Friedman argued that irrational traders will consistently lose money, won't survive and, therefore, cannot influence long run equilibrium asset prices. Since his work, survival and price influence have been assumed to be the same. Often partial equilibrium analysis has been relied upon to examine the survival of irrational traders and to make inferences on their influence on prices. In this paper, we demonstrate that survival and influence on prices are two independent concepts. The price impact of irrational traders does not rely on their long-run survival and they can have a significant impact on asset prices even when their wealth becomes negligible. In addition, in contrast to a partial equilibrium analysis, general equilibrium considerations matter since the ability of irrational traders to impact prices even when their wealth is diminishing can significantly affect their chances for long-run survival. In sum, in a long-run equilibrium, we explicitly show that price impact can occur whether or not the irrational traders survive. In related work, we show that even if the irrational traders survive they may have no price impact. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w9434 |
| 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/567053 |
| 推荐引用方式 GB/T 7714 | Leonid Kogan,Stephen Ross,Jiang Wang,et al. The Price Impact and Survival of Irrational Traders. 2003. |
| 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 | ||
| w9434.pdf（595KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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