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Citations for "Noise Trader Risk in Financial Markets"

by J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann

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  1. McAleer, M.J. & Radalj, K., 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Econometric Institute Research Papers EI 2013-23, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Malcolm Baker & Jeffrey Wurgler, 2004. "A Catering Theory of Dividends," Journal of Finance, American Finance Association, vol. 59(3), pages 1125-1165, 06.
  3. Swanson, Peggy E. & Tsai, Pei-Jung, 2005. "Closed-end country funds and the role of exchange rates in pricing and in determination of premiums and discounts," Journal of Economics and Business, Elsevier, vol. 57(5), pages 388-410.
  4. Oechssler, Jörg & Roider, Andreas & Schmitz, Patrick W., 2008. "Cognitive Abilities and Behavioral Biases," IZA Discussion Papers 3481, Institute for the Study of Labor (IZA).
  5. Kevin J. Lansing, 2007. "Rational and Near-Rational Bubbles Without Drift," 2007 Meeting Papers 970, Society for Economic Dynamics.
  6. Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," NBER Working Papers 8816, National Bureau of Economic Research, Inc.
  7. Pacces, Alessio M., 2000. "Financial intermediation in the securities markets law and economics of conduct of business regulation," International Review of Law and Economics, Elsevier, vol. 20(4), pages 479-510, December.
  8. Kirill Ilinski & Alexander Stepanenko, 1998. "Electrodynamical model of quasi-efficient financial market," Finance 9805007, EconWPA.
  9. Erkko Etula, 2009. "Broker-dealer risk appetite and commodity returns," Staff Reports 406, Federal Reserve Bank of New York.
  10. Robert J. Shiller, 2002. "From Efficient Market Theory to Behavioral Finance," Cowles Foundation Discussion Papers 1385, Cowles Foundation for Research in Economics, Yale University.
  11. Kathleen Weiss Hanley & Charles Lee & Paul Seguin, 1995. "The Marketing of Closed-End Fund IPOs," Center for Financial Institutions Working Papers 94-21, Wharton School Center for Financial Institutions, University of Pennsylvania.
  12. Acharya, Viral V & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
  13. Marco Pagano & Fabio Panetta & and Luigi Zingales, 1998. "Why Do Companies Go Public? An Empirical Analysis," Journal of Finance, American Finance Association, vol. 53(1), pages 27-64, 02.
  14. Snell, Andy & Tonks, Ian, 1998. "Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 1-25, January.
  15. Markus K. Brunnermeier & Christian Julliard, 2006. "Money illusion and housing frenzies," LSE Research Online Documents on Economics 4806, London School of Economics and Political Science, LSE Library.
  16. Paul Grauwe, 2010. "The scientific foundation of dynamic stochastic general equilibrium (DSGE) models," Public Choice, Springer, vol. 144(3), pages 413-443, September.
  17. Grinblatt, Mark & Han, Bing, 2001. "The Disposition Effect and Momentum," University of California at Los Angeles, Anderson Graduate School of Management qt6qg5d62p, Anderson Graduate School of Management, UCLA.
  18. Jacob Boudoukh & Matthew Richardson & YuQing Shen & Robert F. Whitelaw, 2003. "Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market," NBER Working Papers 9515, National Bureau of Economic Research, Inc.
  19. Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola, 2009. "A Computational View of Market Efficiency," Papers 0908.4580, arXiv.org.
  20. Botzen, W.J. Wouter & Marey, Philip S., 2010. "Did the ECB respond to the stock market before the crisis?," Journal of Policy Modeling, Elsevier, vol. 32(3), pages 303-322, May.
  21. Frankel, Jeffrey A. & Schmukler, Sergio L., 1997. "Country Funds and Asymmetric Information," Center for International and Development Economics Research, Working Paper Series qt2791c3wm, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
  22. Markus Haberer, 2004. "Might a Securities Transactions Tax Mitigate Excess Volatility?: Some Evidence From the Literature," CoFE Discussion Paper 04-06, Center of Finance and Econometrics, University of Konstanz.
  23. Guglielmo Maria Caporale & Antoaneta Serguieva & Hao Wu, 2008. "Financial Contagion: Evolutionary Optimisation of a Multinational Agent-Based Model," CESifo Working Paper Series 2444, CESifo Group Munich.
  24. Peter Nippel & Christian Pierdzioch & Andrea Schertler, 2005. "Underpricing and Index Excess Returns," Kiel Working Papers 1259, Kiel Institute for the World Economy.
  25. Chandar, Nandini & Patro, Dilip Kumar, 2000. "Why do closed-end country funds trade at enormous premiums during currency crises?," Pacific-Basin Finance Journal, Elsevier, vol. 8(2), pages 217-248, May.
  26. Dow, James & Han, Jungsuk, 2015. "Contractual incompleteness, limited liability and asset price bubbles," Journal of Financial Economics, Elsevier, vol. 116(2), pages 383-409.
  27. Sanders, Dwight R. & Irwin, Scott H. & Merrin, Robert P., 2008. "The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing?," Marketing and Outlook Research Reports 37512, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  28. David Hirshleifer & Siew Hong Teoh, 2003. "Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis," European Financial Management, European Financial Management Association, vol. 9(1), pages 25-66.
  29. William A. Branch & George W. Evans, 2013. "Bubbles, Crashes and Risk," CDMA Working Paper Series 201306, Centre for Dynamic Macroeconomic Analysis.
  30. Jing Yang, 1999. "Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market," Computing in Economics and Finance 1999 612, Society for Computational Economics.
  31. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2008. "More hedging instruments may destabilize markets (Revised version, April 2008)," CeNDEF Working Papers 08-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  32. Delcoure, Natalya & Zhong, Maosen, 2007. "On the premiums of iShares," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 168-195, March.
  33. Kanas, Angelos, 2012. "Modelling the risk–return relation for the S&P 100: The role of VIX," Economic Modelling, Elsevier, vol. 29(3), pages 795-809.
  34. Hong, Harrison & Stein, Jeremy, 2007. "Disagreement and the Stock Market," Scholarly Articles 2894690, Harvard University Department of Economics.
  35. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2012. "Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle," NBER Working Papers 18560, National Bureau of Economic Research, Inc.
  36. Sethi, Rajiv, 1996. "Endogenous regime switching in speculative markets," Structural Change and Economic Dynamics, Elsevier, vol. 7(1), pages 99-118, March.
  37. Franklin Allen, 2001. "Do Financial Institutions Matter?," Center for Financial Institutions Working Papers 01-04, Wharton School Center for Financial Institutions, University of Pennsylvania.
  38. Dean Johnson & Patrick Joyce, 2012. "Bubbles and Crashes Revisited," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 29-42, August.
  39. Fabrice Rousseau & Laurent Germain & Fabrice Rousseau & Anne Vanhems, 2008. "Irrational Financial Markets," Economics, Finance and Accounting Department Working Paper Series n1870108.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  40. Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2004. "Survival of the Fittest on Wall Street," Discussion Papers 04-03, University of Copenhagen. Department of Economics.
  41. Gikas Hardouvelis & Rafael La Porta & Thierry A. Wizman, 1994. "What Moves the Discount on Country Equity Funds?," NBER Chapters, in: The Internationalization of Equity Markets, pages 345-403 National Bureau of Economic Research, Inc.
  42. Marco Raberto & Silvano Cincott & Sergio M. Focardi & Michele Marchesi, 2002. "Traders’ long-run wealth in an artificial financial market," Computing in Economics and Finance 2002 301, Society for Computational Economics.
  43. Ben-Rephael, Azi & Kandel, Shmuel & Wohl, Avi, 2012. "Measuring investor sentiment with mutual fund flows," Journal of Financial Economics, Elsevier, vol. 104(2), pages 363-382.
  44. Dufwenberg, Martin & Lindqvist, Tobias & Moore, Evan, 2003. "Bubbles and Experience: An Experiment on Speculation," Research Papers in Economics 2003:1, Stockholm University, Department of Economics.
  45. Urzúa Infante, F., 2014. "Essays on ownership and control," Other publications TiSEM f17a9a42-f7a7-4ffa-a95d-a, Tilburg University, School of Economics and Management.
  46. Bomfim, Antulio N., 2001. "Heterogeneous forecasts and aggregate dynamics," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 145-161, February.
  47. Bask, Mikael, 2009. "Instrument rules in monetary policy under heterogeneity in currency trade," Journal of Economics and Business, Elsevier, vol. 61(2), pages 97-111.
  48. Vansteenkiste, Isabel, 2011. "What is driving oil futures prices? Fundamentals versus speculation," Working Paper Series 1371, European Central Bank.
  49. Osler, C. L., 1998. "Short-term speculators and the puzzling behaviour of exchange rates," Journal of International Economics, Elsevier, vol. 45(1), pages 37-57, June.
  50. Harrison Hong & Jose Scheinkman & Wei Xiong, 2005. "Advisors and Asset Prices: A Model of the Origins of Bubbles," Levine's Bibliography 122247000000001003, UCLA Department of Economics.
  51. Frey, Rüdiger & Alexander Stremme, 1995. "Market Volatility and Feedback Effects from Dynamic Hedging," Discussion Paper Serie B 310, University of Bonn, Germany.
  52. Sacco, Pier Luigi, 1996. "Subjective metaphysics and learning from experience: The causal psychology of rational choice," Journal of Economic Psychology, Elsevier, vol. 17(2), pages 221-244, April.
  53. Chen, Shiu-Sheng, 2006. "Revisiting the interest rate-exchange rate nexus: a Markov-switching approach," Journal of Development Economics, Elsevier, vol. 79(1), pages 208-224, February.
  54. Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September.
  55. Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2001. "Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices," Journal of Financial Economics, Elsevier, vol. 61(3), pages 345-381, September.
  56. Anwar M. Shaikh, 1995. "The Stock Market and the Corporate Sector: Profit-Based Approach," Economics Working Paper Archive wp_146, Levy Economics Institute.
  57. Diego Garcia & Francesco Sangiorgi & Branko Urosevic, 2004. "Overconfidence and market efficiency with heterogeneous agents," Economics Working Papers 786, Department of Economics and Business, Universitat Pompeu Fabra.
  58. Mohamed Zouaoui & Geneviève Nouyrigat & Francisca Beer, 2011. "How does investor sentiment affect stock market crises?Evidence from panel data," Working Papers CREGO 1110304, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
  59. Panchenko, Valentyn & Gerasymchuk, Sergiy & Pavlov, Oleg V., 2013. "Asset price dynamics with heterogeneous beliefs and local network interactions," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2623-2642.
  60. Kilian, Lutz & Taylor, Mark P., 2001. "Why is it so difficult to beat the random walk forecast of exchange rates?," Working Paper Series 0088, European Central Bank.
  61. Michael Bleaney & R. Todd Smith, . "Closed-End Fund Betas," Discussion Papers 06/04, University of Nottingham, School of Economics.
  62. Jaroslav Bukovina, 2015. "Sentiment and blue-chip returns. Firm level evidence from a dynamic threshold model," MENDELU Working Papers in Business and Economics 2015-53, Mendel University in Brno, Faculty of Business and Economics.
  63. Hvide, Hans K., 2002. "Pragmatic beliefs and overconfidence," Journal of Economic Behavior & Organization, Elsevier, vol. 48(1), pages 15-28, May.
  64. Parke, William R. & Waters, George A., 2007. "An evolutionary game theory explanation of ARCH effects," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2234-2262, July.
  65. Christian Pierdzioch & Andrea Schertler, 2007. "Sources of Predictability of European Stock Markets for High-technology Firms," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 1-27.
  66. De Grauwe, Paul & Grimaldi, Marianna, 2004. "Exchange Rate Puzzles: A Tale of Switching Attractors," Working Paper Series 163, Sveriges Riksbank (Central Bank of Sweden).
  67. Bryant, Henry L. & Bessler, David A. & Haigh, Michael S., 2003. "Causality In Futures Markets," Working Papers 28574, University of Maryland, Department of Agricultural and Resource Economics.
  68. Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2012. "Money Doctors," Working Papers 464, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    • Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2015. "Money Doctors," Journal of Finance, American Finance Association, vol. 70(1), pages 91-114, 02.
  69. Chiarella, Carl & He, Xue-Zhong, 2003. "Heterogeneous Beliefs, Risk, And Learning In A Simple Asset-Pricing Model With A Market Maker," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 503-536, September.
  70. Joep Sonnemans, 2003. "Price Clustering and Natural Resistance Points in the Dutch Stock Market," Tinbergen Institute Discussion Papers 03-043/1, Tinbergen Institute.
  71. Shapiro, Dmitry, 2009. "Evolution of heterogeneous beliefs and asset overvaluation," Journal of Mathematical Economics, Elsevier, vol. 45(3-4), pages 277-292, March.
  72. Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012. "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 217-240.
  73. Rötheli, Tobias F., 2010. "Causes of the financial crisis: Risk misperception, policy mistakes, and banks' bounded rationality," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 39(2), pages 119-126, April.
  74. George W. Evans & Avik Chakraborty, 2006. "Can Perpetual Learning Explain the Forward Premium Puzzle?," University of Oregon Economics Department Working Papers 2006-8, University of Oregon Economics Department, revised 20 Aug 2006.
  75. Mashruwala, Christina & Rajgopal, Shivaram & Shevlin, Terry, 2006. "Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs," Journal of Accounting and Economics, Elsevier, vol. 42(1-2), pages 3-33, October.
  76. David McMillan & Angela Black, 2001. "Nonlinear error correction in spot and forward exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 137(4), pages 737-750, December.
  77. Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "Behavioral Heterogeneity in the Option Market," LSF Research Working Paper Series 09-07, Luxembourg School of Finance, University of Luxembourg.
  78. Gina Nicolosi & Liang Peng & Ning Zhu, 2003. "Do Individual Investors Learn from Their Trading Experience?," Yale School of Management Working Papers ysm439, Yale School of Management, revised 01 Sep 2009.
  79. Basak, Suleyman & Croitoru, Benjamin, 2006. "On the role of arbitrageurs in rational markets," Journal of Financial Economics, Elsevier, vol. 81(1), pages 143-173, July.
  80. Murat Duran & Doruk Kucuksarac, 2012. "Are Swap and Bond Markets Alternatives to Each Other in Turkey?," Working Papers 1223, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  81. Diego Bastourre & Jorge Carrera & Javier Ibarlucia, 2010. "Commodity Prices: Structural Factors, Financial Markets and Non-Linear Dynamics," BCRA Working Paper Series 201050, Central Bank of Argentina, Economic Research Department.
  82. Alon Brav & Christopher Geczy & Paul A. Gompers, . "Is the Abnormal Return Following Equity Issuances Anomalous?," Rodney L. White Center for Financial Research Working Papers 2-99, Wharton School Rodney L. White Center for Financial Research.
  83. John E. Floyd, 1995. "Uncovered Interest Parity: A Further Reconsideration," Working Papers floyd-95-01, University of Toronto, Department of Economics.
  84. Park, Sangkyun, 2006. "Effects of stock mispricing and regulatory capital constraints on bank lending," Journal of Economics and Business, Elsevier, vol. 58(2), pages 137-152.
  85. Dow, James & Gorton, Gary, 1997. "Noise Trading, Delegated Portfolio Management, and Economic Welfare," Journal of Political Economy, University of Chicago Press, vol. 105(5), pages 1024-50, October.
  86. Ho, Chienwei & Hung, Chi-Hsiou, 2009. "Investor sentiment as conditioning information in asset pricing," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 892-903, May.
  87. ap Gwilym, Rhys, 2010. "Can behavioral finance models account for historical asset prices?," Economics Letters, Elsevier, vol. 108(2), pages 187-189, August.
  88. Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002. "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 307-339.
  89. M. Frenkel & G. Shimidt & G. Stadtmann & Nickle Christiane, 2002. "The Effects of Capital Controls on Exchange Rate Volatility and Output," International Economic Journal, Taylor & Francis Journals, vol. 16(4), pages 27-51.
  90. Cho, Guedae & Kim, MinKyoung & Koo, Won W., 2003. "Relative Agricultural Price Changes In Different Time Horizons," 2003 Annual meeting, July 27-30, Montreal, Canada 22249, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  91. Roberto J. Santillán-Salgado, 2012. "Is the Mexican Stock Market Becoming More Efficient?," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, October.
  92. Sendhil Mullainathan & Andrei Shleifer, 2005. "The Market for News," American Economic Review, American Economic Association, vol. 95(4), pages 1031-1053, September.
  93. Gagnon, Gregory, 2004. "Exchange rate fluctuations in an economy with noise traders," Journal of Macroeconomics, Elsevier, vol. 26(1), pages 45-63, March.
  94. S. Dellavigna., 2011. "Psychology and Economics: Evidence from the Field," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 5.
  95. Tsiaplias, Sarantis, 2008. "Factor estimation using MCMC-based Kalman filter methods," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 344-353, December.
  96. Gunduz Caginalp & Vladimira Ilieva, 2006. "The dynamics of trader motivations in asset bubbles," Labsi Experimental Economics Laboratory University of Siena 008, University of Siena.
  97. Albert, Jose Ramon G. & Schou-Zibell, Lotte & Song, Lei Lei, 2012. "A Macroprudential Framework for Monitoring and Examining Financial Soundness," Discussion Papers DP 2012-22, Philippine Institute for Development Studies.
  98. Stefan Reitz & Mark Taylor, 2012. "FX intervention in the Yen-US dollar market: a coordination channel perspective," International Economics and Economic Policy, Springer, vol. 9(2), pages 111-128, June.
  99. Reitz, Stefan & Taylor, Mark P., 2008. "The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis," European Economic Review, Elsevier, vol. 52(1), pages 55-76, January.
  100. Möbert, Jochen, 2009. "Do speculators drive crude oil prices? Dispersion in beliefs as a price determinant," Research Notes 32e, Deutsche Bank Research.
  101. HAMADI, Malika & RENGIFO, Erick & SALZMAN, Diego, 2005. "Illusionary finance and trading behavior," CORE Discussion Papers 2005004, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  102. Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market," FinMaP-Working Papers 11, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  103. Macdonald, Ronald & Marsh, Ian W., 1996. "Currency forecasters are heterogeneous: confirmation and consequences," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 665-685, October.
  104. Gaunersdorfer, Andrea & Hommes, Cars H. & Wagener, Florian O.O., 2008. "Bifurcation routes to volatility clustering under evolutionary learning," Journal of Economic Behavior & Organization, Elsevier, vol. 67(1), pages 27-47, July.
  105. Paul Grauwe & Hans Dewachter, 1993. "A chaotic model of the exchange rate: The role of fundamentalists and chartists," Open Economies Review, Springer, vol. 4(4), pages 351-379, December.
  106. Jörg Mayer, 2009. "The Growing Interdependence Between Financial And Commodity Markets," UNCTAD Discussion Papers 195, United Nations Conference on Trade and Development.
  107. Samira Haddou, 2011. "Is Tunisian Real Effective Exchange Rate Mean Reverting? Evidence from Nonlinear Models," Transition Studies Review, Springer, vol. 18(1), pages 164-178, September.
  108. Yiuman Tse & Michael R. Williams, 2013. "Does Index Speculation Impact Commodity Prices? An Intraday Analysis," The Financial Review, Eastern Finance Association, vol. 48(3), pages 365-383, 08.
  109. Palomino, F.A. & Sadrieh, A., 2003. "Overconfidence and Delegated Portfolio Management," Discussion Paper 2003-54, Tilburg University, Center for Economic Research.
  110. Jeff Madura & Thanh Ngo, 2008. "Pricing behavior of exchange traded funds," Journal of Economics and Finance, Springer, vol. 32(1), pages 1-23, January.
  111. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1988. "The Survival of Noise Traders in Financial Markets," NBER Working Papers 2715, National Bureau of Economic Research, Inc.
  112. Neal, Robert & Wheatley, Simon M., 1998. "Adverse selection and bid-ask spreads: Evidence from closed-end funds," Journal of Financial Markets, Elsevier, vol. 1(1), pages 121-149, April.
  113. Adelina Gschwandtner, 2004. "Profit Persistence in the "Very" Long Run: Evidence from Survivors and Exiters," Vienna Economics Papers 0401, University of Vienna, Department of Economics.
  114. Paul A. Gompers & Andrew Metrick, 2001. "Institutional Investors And Equity Prices," The Quarterly Journal of Economics, MIT Press, vol. 116(1), pages 229-259, February.
  115. Hirshleifer, David & Jiang, Danling, 2007. "Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns," MPRA Paper 16134, University Library of Munich, Germany, revised 08 Jul 2009.
  116. Flynn, Sean Masaki, 2003. "Limited Arbitrage, Segmentation, and Investor Heterogeneity: Why the Law of One Price So Often Fails," Vassar College Department of Economics Working Paper Series 56, Vassar College Department of Economics.
  117. Jun Liu, 2004. "Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities," Review of Financial Studies, Society for Financial Studies, vol. 17(3), pages 611-641.
  118. Robert S. Chirinko & Hisham Foad, 2007. "Noise vs. News In Equity Returns," Working Papers 0025, San Diego State University, Department of Economics.
  119. Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015. "Heteroeneous forecasters and nonlinear expectation formation in US stock market," FinMaP-Working Papers 29, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  120. Hommes, C.H. & Sonnemans, J. & Tuinstra, J. & Velden, H. van de, 2002. "Coordination of Expectations in Asset Pricing Experiments (Revised June 2003)," CeNDEF Working Papers 02-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  121. Mahani, Reza S. & Poteshman, Allen M., 2008. "Overreaction to stock market news and misevaluation of stock prices by unsophisticated investors: Evidence from the option market," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 635-655, September.
  122. Mu, Xiaoyi, 2007. "Weather, storage, and natural gas price dynamics: Fundamentals and volatility," Energy Economics, Elsevier, vol. 29(1), pages 46-63, January.
  123. Kamini Solanki & Yudhvir Seetharam, 2014. "Is consumer confidence an indicator of JSE performance?," Contemporary Economics, University of Finance and Management in Warsaw, vol. 8(3), September.
  124. Ming Pu & Gang-Zhi Fan & Seow Ong, 2012. "Heterogeneous Agents and the Indifference Pricing of Property Index Linked Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 44(4), pages 543-569, May.
  125. Lahr, Henry & Kaserer, Christoph, 2009. "Net asset value discounts in listed private equity funds," CEFS Working Paper Series 2009-12, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
  126. Hau, Harald, 2000. "Real Exchange Rate Volatility and Economic Openness: Theory and Evidence," CEPR Discussion Papers 2356, C.E.P.R. Discussion Papers.
  127. Shleifer, Andrei & Vishny, Robert W, 1997. " The Limits of Arbitrage," Journal of Finance, American Finance Association, vol. 52(1), pages 35-55, March.
  128. Antonia López-Villavicencio & Valérie Mignon, 2009. "On Equilibrium Exchange Rates: Is Emerging Asia Different?," Working Papers 2009-38, CEPII research center.
  129. Péter Kondor, 2005. "Rational Trader Risk," FMG Discussion Papers dp533, Financial Markets Group.
  130. Mathias Hoffmann & Ronald MacDonald, 2006. "A Re-examination of the link between Real Exchange Rates and Real Interest Rate Differentials," Working Papers 2007_36, Business School - Economics, University of Glasgow.
  131. Joseph Chen & Harrison Hong & Jeremy C. Stein, 2001. "Breadth of Ownership and Stock Returns," NBER Working Papers 8151, National Bureau of Economic Research, Inc.
  132. Caballe, Jordi & Sakovics, Jozsef, 2003. "Speculating against an overconfident market," Journal of Financial Markets, Elsevier, vol. 6(2), pages 199-225, April.
  133. Ron Bird & Lorenzo Casavecchia & Paul Woolley, 2008. "Insights into the Market Impact of Different Investment Styles," Working Paper Series 1, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  134. Lukas Menkhoff & Ulrich Schmidt, 2005. "The use of trading strategies by fund managers: some first survey evidence," Applied Economics, Taylor & Francis Journals, vol. 37(15), pages 1719-1730.
  135. Gene D'Avolio & Efi Gildor & Andrei Shleifer, 2001. "Technology, Information Production, and Market Efficiency," Harvard Institute of Economic Research Working Papers 1929, Harvard - Institute of Economic Research.
  136. Wei, S.J. & Kim, J., 1999. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," Papers 5, Chicago - Graduate School of Business.
  137. Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
  138. Harrison Hong & Motohiro Yogo, 2011. "What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?," NBER Working Papers 16712, National Bureau of Economic Research, Inc.
  139. Agarwal, Vikas & Daniel, Naveen D. & Naik, Narayan Y., 2009. "Role of managerial incentives and discretion in hedge fund performance," CFR Working Papers 04-04, University of Cologne, Centre for Financial Research (CFR).
  140. Cheung, Yin-Wong & Chinn, Menzie David & Marsh, Ian W, 1999. "How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?," CEPR Discussion Papers 2230, C.E.P.R. Discussion Papers.
  141. Boudoukh, Jacob & Richardson, Matthew & Shen, YuQing (Jeff) & Whitelaw, Robert F., 2007. "Do asset prices reflect fundamentals? Freshly squeezed evidence from the OJ market," Journal of Financial Economics, Elsevier, vol. 83(2), pages 397-412, February.
  142. Ng, Lilian & Wu, Fei, 2007. "The trading behavior of institutions and individuals in Chinese equity markets," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2695-2710, September.
  143. Flynn, Sean M., 2005. "Sentiment and the Interpretation of News about Fundamentals," Vassar College Department of Economics Working Paper Series 72, Vassar College Department of Economics.
  144. Jung-Wook Kim & Jason Lee & Randall Morck, 2009. "Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks," NBER Working Papers 14733, National Bureau of Economic Research, Inc.
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