The Noise Trader Approach to Finance
Опубликовано на портале: 13-05-2005
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Our case for the noise trader approach is threefold. First, theoretical models with limited arbitrage are both tractable and more plausible than models with perfect arbitrage. The efficient markets hypithesis obtains only as an extreme case of perfect riskless arbitrage that unlikely to apply in practice. Second, the investors sentiment/ limited arbitrage approach yields a more accurate description of financial markets than the efficient markets paradigm. The approach not only explains the available anomalies, but also readly explains board features of financial markets such as trading volume and actual investment strategies. Third, and most importantly, this approach yields new and testable implications about asset prices, some of which have been proved to be consistent with the data. It is absolutely not true that introducing a degree of irrationality of some investors into models of financial markets "eliminates all discipline and can explain anything".
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