Is Noise Trading Cancelled Out by Aggregation?
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- Hongjun Yan, 2008. "Is Noise Trading Cancelled Out by Aggregation?," Yale School of Management Working Papers amz2604, Yale School of Management, revised 01 Jan 2009.
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Citations
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Cited by:
- Cvitanic, Jaksa & Malamud, Semyon, 2011.
"Price impact and portfolio impact,"
Journal of Financial Economics,
Elsevier, vol. 100(1), pages 201-225, April.
- Jaksa CVITANIC & Semyon MALAMUD, 2010. "Price Impact and Portfolio Impact," Swiss Finance Institute Research Paper Series 10-26, Swiss Finance Institute.
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"Heterogeneous Expectations and Bond Markets,"
Review of Financial Studies,
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- Yang, Chunpeng & Li, Jinfang, 2013. "Investor sentiment, information and asset pricing model," Economic Modelling, Elsevier, vol. 35(C), pages 436-442.
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Keywords
aggregation; bias; noise trading; behavioral finance;Statistics
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