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Systematic noise

Citations

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Cited by:

  1. David Hirshleifer & Danling Jiang, 2010. "A Financing-Based Misvaluation Factor and the Cross-Section of Expected Returns," The Review of Financial Studies, Society for Financial Studies, vol. 23(9), pages 3401-3436.
  2. Yang, Chunpeng & Yan, Wei & Zhang, Rengui, 2013. "Sentiment approach to negative expected return in the stock market," Economic Modelling, Elsevier, vol. 35(C), pages 30-34.
  3. Abrahamson, Martin, 2016. "“Rookies to the stock market: A portrait of new shareholders”," Research in International Business and Finance, Elsevier, vol. 38(C), pages 565-576.
  4. Boortz, Christopher K. & Jurkatis, Simon & Kremer, Stephanie & Nautz, Dieter, 2013. "The impact of information risk and market stress on institutional trading: New evidence through the lens of a simulated herd model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79728, Verein für Socialpolitik / German Economic Association.
  5. Tekçe, Bülent & Yılmaz, Neslihan & Bildik, Recep, 2016. "What factors affect behavioral biases? Evidence from Turkish individual stock investors," Research in International Business and Finance, Elsevier, vol. 37(C), pages 515-526.
  6. V. I. Yukalov & D. Sornette, 2012. "Quantum decision making by social agents," Papers 1202.4918, arXiv.org, revised Oct 2015.
  7. Choi, Jongmoo Jay & Kedar-Levy, Haim & Yoo, Sean Sehyun, 2015. "Are individual or institutional investors the agents of bubbles?," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 1-22.
  8. Hsieh, Shu-Fan, 2013. "Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 175-188.
  9. Pan, Zhiyuan & Pettenuzzo, Davide & Wang, Yudong, 2020. "Forecasting stock returns: A predictor-constrained approach," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 200-217.
  10. Peter de Goeij & Geert Van Campenhout & Marjana SubotiÄ, 2018. "Improving Index Mutual Fund Risk Perception: Increase Financial Literacy or Communicate Better?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 47(2-3), pages 519-552, July.
  11. Rahman, M. Arifur & Chowdhury, Shah Saeed Hassan & Shibley Sadique, M., 2015. "Herding where retail investors dominate trading: The case of Saudi Arabia," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 46-60.
  12. Agudelo, Diego A. & Giraldo, Santiago & Villarraga, Edwin, 2015. "Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 149-161.
  13. Chung, Huimin & Sheu, Her-Jiun & Hsu, Shufang, 2010. "Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 742-754, October.
  14. Lowe, Alpha, 2014. "The demand-side explanation for commonality in liquidity: The role of institutional ownership in the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 59-85.
  15. Liang, Woan-lih, 2016. "Sensitivity to investor sentiment and stock performance of open market share repurchases," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 75-94.
  16. Chiao Yi Chang & Hsiang-Lan Chen & Wen-Hsiu Kuo, 2017. "The Analysis of 52-Week High Investing Strategy Based on Herding Behavior," International Review of Finance, International Review of Finance Ltd., vol. 17(1), pages 77-106, March.
  17. Duxbury, Darren & Yao, Songyao, 2017. "Are investors consistent in their trading strategies? An examination of individual investor-level data," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 77-87.
  18. Chen, Zhijuan & Lin, William T. & Ma, Changfeng & Tsai, Shih-Chuan, 2014. "Liquidity provisions by individual investor trading prior to dividend announcements: Evidence from Taiwan," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 358-374.
  19. Anna Scherbina & Bernd Schlusche, 2012. "Asset Bubbles: an Application to Residential Real Estate," European Financial Management, European Financial Management Association, vol. 18(3), pages 464-491, June.
  20. Philipp Stephan & Rüdiger Nitzsch, 2013. "Do individual investors’ stock recommendations in online communities contain investment value?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(2), pages 149-186, June.
  21. Magron, Camille & Merli, Maxime, 2015. "Repurchase behavior of individual investors, sophistication and regret," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 15-26.
  22. Goddard, John & Kita, Arben & Wang, Qingwei, 2015. "Investor attention and FX market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 79-96.
  23. Baghestanian, Sascha & Walker, Todd B., 2015. "Anchoring in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 116(C), pages 15-25.
  24. Vasios, Michalis & Payne, Richard & Nolte, Ingmar, 2015. "Profiting from Mimicking Strategies in Non-Anonymous Markets," MPRA Paper 61710, University Library of Munich, Germany.
  25. Charteris, Ailie & Musadziruma, Arnold, 2017. "Feedback trading in stock index futures: Evidence from South Africa," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1289-1297.
  26. Michael Grubb, 2015. "Failing to Choose the Best Price: Theory, Evidence, and Policy," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 47(3), pages 303-340, November.
  27. Tóth, Bence & Palit, Imon & Lillo, Fabrizio & Farmer, J. Doyne, 2015. "Why is equity order flow so persistent?," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 218-239.
  28. Charteris, Ailie & Chau, Frankie & Gavriilidis, Konstantinos & Kallinterakis, Vasileios, 2014. "Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 80-89.
  29. David Hirshleifer & Kewei Hou & Siew Hong Teoh, 2012. "The Accrual Anomaly: Risk or Mispricing?," Management Science, INFORMS, vol. 58(2), pages 320-335, February.
  30. Karagianni Stella & Kyrtsou Catherine, 2011. "Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-25, March.
  31. Anwer S. Ahmed & Irfan Safdar, 2018. "Dissecting stock price momentum using financial statement analysis," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 3-43, November.
  32. Qian, Xiaolin, 2014. "Small investor sentiment, differences of opinion and stock overvaluation," Journal of Financial Markets, Elsevier, vol. 19(C), pages 219-246.
  33. Lunn, Pete, 2011. "The Role of Decision-Making Biases in Ireland's Banking Crisis," Papers WP389, Economic and Social Research Institute (ESRI).
  34. Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013. "Pricing deviation, misvaluation comovement, and macroeconomic conditions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5285-5299.
  35. Joseph, Kissan & Babajide Wintoki, M. & Zhang, Zelin, 2011. "Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1116-1127, October.
  36. Peranginangin, Yessy & Ali, Akbar Z. & Brockman, Paul & Zurbruegg, Ralf, 2016. "The impact of foreign trades on emerging market liquidity," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 1-16.
  37. Yu-Jane Liu & Chih-Ling Tsai & Ming-Chun Wang & Ning Zhu, 2010. "Prior Consequences and Subsequent Risk Taking: New Field Evidence from the Taiwan Futures Exchange," Management Science, INFORMS, vol. 56(4), pages 606-620, April.
  38. Grinblatt, Mark & Keloharju, Matti & Linnainmaa, Juhani T., 2012. "IQ, trading behavior, and performance," Journal of Financial Economics, Elsevier, vol. 104(2), pages 339-362.
  39. Eric. W. K. See-To & Yang Yang, 2017. "Market sentiment dispersion and its effects on stock return and volatility," Electronic Markets, Springer;IIM University of St. Gallen, vol. 27(3), pages 283-296, August.
  40. Robert F. Stambaugh, 2014. "Investment Noise and Trends," NBER Working Papers 20072, National Bureau of Economic Research, Inc.
  41. Grant, Andrew & Jarnecic, Elvis & Su, Mark, 2015. "Asymmetric effects of sell-side analyst optimism and broker market share by clientele," Journal of Financial Markets, Elsevier, vol. 24(C), pages 49-65.
  42. Jame, Russell & Tong, Qing, 2014. "Industry-based style investing," Journal of Financial Markets, Elsevier, vol. 19(C), pages 110-130.
  43. Barber, Brad M. & Odean, Terrance, 2013. "The Behavior of Individual Investors," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1533-1570, Elsevier.
  44. Chae, Joon & Yang, Cheol-Won, 2013. "Commonality in individuals' trading: A systematic path between behavioral bias and expected returns," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1008-1023.
  45. Lilian Ng & Fei Wu, 2010. "Peer Effects in the Trading Decisions of Individual Investors," Financial Management, Financial Management Association International, vol. 39(2), pages 807-831, June.
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