| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22161 |
| 来源ID | Working Paper 22161 |
| Coordinated Noise Trading: Evidence from Pension Fund Reallocations | |
| Zhi Da; Borja Larrain; Clemens Sialm; José Tessada | |
| 发表日期 | 2016-04-11 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We document a novel channel through which coordinated noise trading exerts externalities on financial markets dominated by institutional investors. We exploit a unique set of events where Chilean pension fund investors followed an influential financial advisory firm that recommended frequent switches between equity and bond funds. The recommendations, which mostly followed short-term trends, generated large and coordinated fund flows. These flows resulted in substantial price pressure and increased volatility in financial markets. Pension funds increased cash holdings as a response. Our findings suggest that giving retirement savers unconstrained reallocation opportunities may exert negative externalities on financial markets. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions ; Public Economics ; Taxation ; National Fiscal Issues |
| URL | https://www.nber.org/papers/w22161 |
| 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/579835 |
| 推荐引用方式 GB/T 7714 | Zhi Da,Borja Larrain,Clemens Sialm,et al. Coordinated Noise Trading: Evidence from Pension Fund Reallocations. 2016. |
| 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 | ||
| w22161.pdf（647KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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