SMART MONEY, NOISE TRADING AND STOCK-PRICE BEHAVIOR

被引：227

作者：

CAMPBELL, JY ^{[1
]}

KYLE, AS ^{[1
]}

机构：

[1] UNIV CALIF BERKELEY, BERKELEY, CA 94720 USA

来源：

REVIEW OF ECONOMIC STUDIES | 1993年 / 60卷 / 01期

基金：

美国国家科学基金会;

关键词：

D O I：

10.2307/2297810

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper estimates an equilibrium model of stock price behaviour in which changes in exponentially de-trended dividends and prices are normally distributed and exogenous ''noise traders'' interact with ''smart-money'' investors who have constant absolute risk aversion. The model can explain the volatility and predictability of U.S. stock returns in the period 1871-1986 using either a low discount rate (4% or below) and a large constant risk discount on the stock price, or a higher discount rate (5% or above) and noise trading correlated with fundamentals. The data are not well able to distinguish between these explanations.

引用

页码：1 / 34

页数：34

共 43 条

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BANERJEE A, 1986, OXFORD B ECON STAT, V48, P253

[2]

Bergstrom A.R., 1984, HDB ECONOMETRICS, V2, P1145, DOI DOI 10.1016/S1573-4412(84)02012-2

[3] NOISE [J].