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Financial speculators' underperformance: learning, self-selection, and endogeneous liquidity
We develop an equilibrium model of learning by rational traders to reconcile several empirical regularities: Cross sectionally, most individual speculators lose money; large speculators outperform small speculators; past performance positively affects subsequent trade intensity; most new traders lose money and cease speculation; and performance shows persistence. Learning from trading generates substantial endogenous liquidity, reducing bid-ask spreads and the impact of exogenous liquidity shocks on asset prices, but amplifying the effects of real shocks. Introducing slightly overconfident traders increases bid-ask spreads, hurting all traders. Finally, behavioral theories cannot reconcile all of these empirical regularities..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : The American Finance Association |
|---|---|
| Edisi | - |
| Subjek | Liquidity Equilibrium Speculators Learning studies Spread |
| ISBN/ISSN | 221082 |
| Klasifikasi | NONE |
| Deskripsi Fisik | - |
| Info Detail Spesifik | JOF6203 ; BACA DITEMPAT |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |