Do Noise Traders Influence Stock Prices?
通过对比模型预测与实际投资者行为，检验了聪明钱与噪声交易者模型，发现低收入群体参与度高时预示一年后回报低，并讨论了噪声交易者低回报对股权溢价之谜的含义。
This paper tests a smart money-noise trader model directly by comparing its predictions with the behavior of actual investors. It assumes that individual probability of being a noise trader is diminishing in income: high income households are smart money, lower income households are noise traders, with passive investors in between. Market data behave as predicted: high participation by the general population is a negative predictor of one year returns and is associated with low participation by very high income groups. The implications for the equity premium puzzle of the low returns earned by noise traders are discussed. Copyright 1997 by Ohio State University Press.