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タイトル: | Price Reaction to Momentum Trading and Market Equilibrium |
著者: | Nishide, Katsumasa |
著者名の別形: | 西出, 勝正 |
キーワード: | Market microstructure rational expectations model momentum trading market bubble |
発行日: | Mar-2007 |
出版者: | 京都大学大学院経済学研究科 |
引用: | Katsumasa Nishide. Price Reaction to Momentum Trading and Market Equilibrium. 京都大学大学院経済学研究科Working Paper. 86. 2007.03. |
誌名: | 京都大学大学院経済学研究科Working Paper |
号: | 86 |
抄録: | This paper analyzes a nancial market with momentum trading, and shows how momentum trading a ects the market equilibrium. When momentum traders dominate the market, the private information owned by the rational traders may not be incorporated into the price, whence the price becomes less informative. If trend-chasing traders trade intensively in the market, a market bubble may occur and the price rises even though the fundamental value of the asset is low. It is shown that the reliability of the rm's public announcement such as an earnings forecast is a key factor to avert the market bubble. |
URI: | http://hdl.handle.net/2433/50724 |
出現コレクション: | Working Paper (外国語論文) |
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