Massively Confused Investors Making Conspicuously Ignorant Choices (MCI–MCIC)
发现股票代码相似的股票在短期收益率、成交量和波动率上存在显著联动，这种偏离基本面的现象会在几天内反转，但套利者难以消除，为观察噪声交易者对股价的影响提供了独立于信息变化的证据。
ABSTRACT This paper examines the comovement of stocks with similar ticker symbols. For one such pair of firms, 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 longer horizons. Arbitrageurs appear to be limited in their ability 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.