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dc.contributor.authorSalomonsson, Marcusen_US
dc.date.accessioned2012-03-28T13:06:34Z-
dc.date.available2012-03-28T13:06:34Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/56222-
dc.description.abstractWe construct a parsimonious model of a financial market where the marginal investor is an endogenous noise trader. Such a trader anticipates that future shocks may force him to exit his position. In compensation he requires a higher return. We show that the original seller of the asset pays the required return. This can only be optimal if the seller has access to an investment opportunity that gives a sufficiently high return, compared to the noise trader's investment opportunities. We also show that, if the noise trader expects to get informative signals, the required return does not necessarily decrease, as claimed in the earlier literature.en_US
dc.language.isoengen_US
dc.publisherEkonomiska Forskningsinst. Stockholmen_US
dc.relation.ispartofseriesSSE/EFI Working Paper Series in Economics and Finance 644en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordMarket microstructureen_US
dc.subject.keywordno-trade theoremsen_US
dc.subject.keywordadverse selectionen_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwKapitalanlageen_US
dc.subject.stwNoise Tradingen_US
dc.subject.stwAdverse Selectionen_US
dc.titleEndogenous noise tradersen_US
dc.typeWorking Paperen_US
dc.identifier.ppn520945964en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

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