Noise Trading in Small Markets
研究不完全竞争市场中噪声交易者的预期效用，发现其可能高于理性投资者，从而削弱套利者利用噪声交易者错误认知的意愿，有助于解释封闭式基金折价和小公司回报现象。
ABSTRACT 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.