Noise Trading and Asset Pricing Factors
研究发现资产定价因子显著暴露于噪声交易者风险，且该风险在因子溢价中被定价。共同基金的流量驱动交易对因子回报产生价格冲击后完全反转，表明其非知情交易性质。
We demonstrate that a broad set of asset pricing factors/anomalies are significantly exposed to “noise trader risk,” and the noise trader risk is priced in factor premia. We first confirm that mutual funds’ flow-induced trading of factors are uninformed, as they generate a large price impact on factor returns, followed by a complete reversal. We then show that asset pricing factors are subject to flow-driven noise trader risk in that expected variation (covariation) of flow-induced noise trading strongly forecasts variance (covariance) of factor returns. Importantly, factor premia are higher when flow-driven noise trader risk is expected to be more salient. This paper was accepted by Kay Giesecke, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.01827 .