Massively Confused Investors Making Conspicuously Ignorant Choices (MCI - MCIC)  

Oleh:

Rashes, Michael S.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 5 (2001), page 1911-1928.
Topik: investors; correlation analysis; studies; names; stock prices; securities trading
Fulltext: p 1911.pdf (90.95KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper examines the comovement of stocks with similar ticker symbols. FOr one such pair of fimes, there is a significant correlation between returns, volume and volatility at short frequencies. Deviations from : fundamental value" tend to be reversed within several days, although there is some evidence that the return comovement persists for loonger horizons. Arbitrageurs appear to be limited in their abiltiy to eliminate these deviations from fundamentals. This anomaly allows the observation of noise traders and their effect on stock prices independent of changes in information and expectations.

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