Noise Trader Risk in Financial Markets

# Noise Trader Risk in Financial Markets > OpenAlex Metadata Hub · https://openalex.org/W2050643653 ## Bibliographic - **DOI:** 10.1086/261703 - **Year:** 1990 - **Citations:** 6394 - **Open Access:** Yes (green) - **License:** cc-by - **Source:** http://nrs.harvard.edu/urn-3:HUL.InstRepos:3725552 ## Authors - J. Bradford De Long - Andrei Shleifer - Lawrence H. Summers - Robert Waldmann ## Abstract The authors present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability of noise traders' beliefs creates a risk in the price of the asset that deters rational arbitrageurs from aggressively betting against them. As a result, prices can diverge significantly from fundamental values even in the absence of fundamental risk. Moreover, bearing a disproportionate amount of risk that they themselves create enables noise traders to earn a higher expected return than rational investors do. The model sheds light on a number of financial anomalies. Copyright 1990 by University of Chicago Press. ## Keywords Limits to arbitrage, Economics, Arbitrage, Mean reversion, Stock (firearms), Financial economics, Equity (law), Capital asset pricing model, Financial market, Volatility (finance), Asset (computer security), Rational expectations, Irrational number, Risk premium, Monetary economics, Econometrics, Finance ## Concepts - Limits to arbitrage - Economics - Arbitrage - Mean reversion - Stock (firearms) - Financial economics - Equity (law) - Capital asset pricing model - Financial market - Volatility (finance) - Asset (computer security) - Rational expectations - Irrational number - Risk premium - Monetary economics - Econometrics - Finance - Geometry - Mathematics - Computer science - Law - Political science - Mechanical engineering - Computer security - Engineering --- *Metadata only — full text not imported unless Open Access license permits.*

Bài “Noise Trader Risk in Financial Markets” được TradingBase chuyển thành Knowledge Product cho trader — không phải trang đọc abstract OpenAlex. Tóm lược học thuật (đã diễn giải): The authors present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability of noise traders' beliefs creates a risk in the price of the asset that deters rational arbitrageurs from aggressively betting against them. As a result, prices can diverge significantly from fundamental values even in the absence of fundamental risk. Moreover, bearing a disproportionate amount of risk that they themselves create enables noise traders to earn a higher expected return than rational investors do. The model sheds light on a number of financial anomalies. Copyright 1990 by University of Chicago Press. Phần Trading Insights bên dưới nối nghiên cứu với Forex, vàng, USD, lãi suất và risk regime — để bạn đưa vào journal và playbook. Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.