噪音交易:基于广告的措施

Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-08-04 DOI:10.2139/ssrn.3271851

Vivian W. Fang, Joshua M. Madsen, Xinyuan Shao

{"title":"噪音交易:基于广告的措施","authors":"Vivian W. Fang, Joshua M. Madsen, Xinyuan Shao","doi":"10.2139/ssrn.3271851","DOIUrl":null,"url":null,"abstract":"This paper proposes a novel measure of noise trading that aims to capture uninformed retail trading. The measure, an indicator of whether the firm placed advertisement(s) in the Wall Street Journal seven calendar days earlier, is motivated by evidence that retail trading spikes seven days after ad days, that firms regularly place ads at weekly intervals, and that weekly ads frequently contain duplicate images. This ad-based measure is positively associated with informed trading and stock price volatility. Collectively, our results provide broad support for the theoretical predictions of Collin-Dufresne and Fos (2016, Econometrica).","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"191 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2020-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":"{\"title\":\"Noise Trading: An Ad-based Measure\",\"authors\":\"Vivian W. Fang, Joshua M. Madsen, Xinyuan Shao\",\"doi\":\"10.2139/ssrn.3271851\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper proposes a novel measure of noise trading that aims to capture uninformed retail trading. The measure, an indicator of whether the firm placed advertisement(s) in the Wall Street Journal seven calendar days earlier, is motivated by evidence that retail trading spikes seven days after ad days, that firms regularly place ads at weekly intervals, and that weekly ads frequently contain duplicate images. This ad-based measure is positively associated with informed trading and stock price volatility. Collectively, our results provide broad support for the theoretical predictions of Collin-Dufresne and Fos (2016, Econometrica).\",\"PeriodicalId\":18611,\"journal\":{\"name\":\"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal\",\"volume\":\"191 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-08-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"7\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3271851\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3271851","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 7

摘要

本文提出了一种新的噪声交易度量方法，旨在捕捉不知情的零售交易。该措施是衡量公司是否在7个日历日前在《华尔街日报》上投放广告的指标，其动机是有证据表明，在广告日之后的7天，零售交易量达到峰值，公司定期以每周为间隔投放广告，每周广告经常包含重复的图像。这种基于广告的衡量标准与知情交易和股价波动呈正相关。总的来说，我们的结果为colin - dufresne和Fos (2016, Econometrica)的理论预测提供了广泛的支持。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Noise Trading: An Ad-based Measure

This paper proposes a novel measure of noise trading that aims to capture uninformed retail trading. The measure, an indicator of whether the firm placed advertisement(s) in the Wall Street Journal seven calendar days earlier, is motivated by evidence that retail trading spikes seven days after ad days, that firms regularly place ads at weekly intervals, and that weekly ads frequently contain duplicate images. This ad-based measure is positively associated with informed trading and stock price volatility. Collectively, our results provide broad support for the theoretical predictions of Collin-Dufresne and Fos (2016, Econometrica).

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal

自引率

0.00%

发文量