A Theory of Noise Trading in Securities Markets

摘要: In a recent article, Black [1] introduces type of trading that he terms noise trading. He asserts trading, which defines as on if it were information, must be significant factor in securities markets. However, does not provide an explanation why any investors would rationally want to engage The goal this paper is such for one investor, managers investment funds. As shown here, the incentive manager arises because positive signal level manager's provides about his or her ability collect private information concerning current and potential investments. If compensation directly related investors' perceptions ability, will then trade more frequently than justified basis information. addition providing results analysis may also useful further empirical exploration relation between fund portfolio turnover subsequent performance.