dc.contributor.author | Campbell, John | |
dc.contributor.author | Kyle, Albert | |
dc.date.accessioned | 2009-08-13T20:20:53Z | |
dc.date.issued | 1993 | |
dc.identifier.citation | Campbell, John Y., and Albert S. Kyle. 1993. Smart money, noise trading and stock price behaviour. Review of Economic Studies 60, no. 1: 1-34. | en |
dc.identifier.issn | 0034-6527 | en |
dc.identifier.uri | http://nrs.harvard.edu/urn-3:HUL.InstRepos:3208217 | |
dc.description.abstract | 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. | en |
dc.description.sponsorship | Economics | en |
dc.language.iso | en_US | en |
dc.publisher | Blackwell Publishing | en |
dc.relation.isversionof | http://dx.doi.org/10.2307/2297810 | en |
dash.license | LAA | |
dc.title | Smart Money, Noise Trading and Stock Price Behaviour | en |
dc.relation.journal | Review of Economic Studies | en |
dash.depositing.author | Campbell, John | |
dc.identifier.doi | 10.2307/2297810 | * |
dash.contributor.affiliated | Campbell, John | |