Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56222 
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dc.contributor.authorSalomonsson, Marcusen
dc.date.accessioned2012-03-28T13:06:34Z-
dc.date.available2012-03-28T13:06:34Z-
dc.date.issued2006-
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
dc.language.isoengen
dc.publisher|aStockholm School of Economics, The Economic Research Institute (EFI) |cStockholmen
dc.relation.ispartofseries|aSSE/EFI Working Paper Series in Economics and Finance |x644en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordMarket microstructureen
dc.subject.keywordno-trade theoremsen
dc.subject.keywordadverse selectionen
dc.subject.stwFinanzmarkten
dc.subject.stwKapitalanlageen
dc.subject.stwNoise Tradingen
dc.subject.stwAdverse Selectionen
dc.titleEndogenous noise traders-
dc.typeWorking Paperen
dc.identifier.ppn520945964en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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