Noise Momentum Around the World
研究发现，套利者会因预期噪声交易者错误认知加深而限制初始投资，这种“噪声动量”在全球多个现货-期货市场对中普遍存在，对理解套利过程有重要价值。
We argue that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders' misperceptions. Such ‘noise momentum’ is an important determinant of the overall arbitrage process. We design an empirical strategy to capture noise momentum in a two‐period generalized error correction model. Applying it to a wide range of international spot‐futures market pairs, we document pervasive evidence of noise momentum around the world.