Noise Trading in Small Markets
证明在风险厌恶投资者构成的不完全竞争市场中，噪声交易者可能获得比理性投资者更高的期望效用，因为偏离纳什均衡策略对理性投资者的伤害更大，从而削弱了套利者利用噪声交易者错误认知的意愿。
Considering noise traders as agents with unpredictable beliefs, we show that in an imperfectly competitive market with risk averse investors, noise traders may earn higher expected utility than rational investors. This happens when, by deviating from the Nash equilibrium strategy, noise traders hurt rational investors more than themselves. It follows that the willingness of arbitrageurs to exploit noise traders' misperceptions is lower relative to a perfectly competitive economy. This result reinforces the theory that noise trading may explain closed-end fund discounts and small firms' returns, since these markets are less competitive than the market for large firms' stock.