Liquidity Provision and Noise Trading: Evidence from the “Investment Dartboard” Column
利用《华尔街日报》“投资飞镖板”专栏作为自然实验，发现该专栏引发的噪声交易增加了交易量并带来暂时异常收益，同时提高了流动性并降低了买卖价差中的逆向选择成分。
How does increased noise trading affect market liquidity and trading costs? We use The Wall Street Journal 's “Investment Dartboard” column, which stimulates noise trading, as a natural experiment to evaluate models of the bid‐ask spread. We find that substantial increases in trading volume and significant but temporary abnormal returns occur when analysts recommend stocks in this column, especially when recommendations come from analysts with successful contest track records. We also find an increase in liquidity and a decrease in the adverse selection component of the bid‐ask spread.