Noise, Asset Prices, and Bubbles  

作　　者：Xuehui He 

机构地区：[1]He got his Ph.D degree from Fudan University. He has already published tens of articles and papers. This paper was prepared during his visit at the University of Toledo. The author acknowledges the China Scholarship Council for funding the project and Prof. Gene Hsin Chang for his helpful comments. Address： School of Finance, North Campus, Hunan University, Changsha, Hunan, P. R. China Postcode： 410079

出　　处：《Chinese Business Review》2003年第4期33-39,48,共8页中国经济评论（英文版）

摘　　要：The paper asserts that the misperceptions of noise traders are a behavioral bias characterized by overreactions. By introducing the overreaction coefficient, we provide an explanation for the volatility of asset prices and bubbles in a simplified framework that is similar to the DSSW （1990a） model. When the underlying asset is involved with a fundamental shock, noise traders will generally overreact to it, which creates an ＂overreaction risk＂. This kind of risk will make the asset prices more volatile, and even make up asset bubbles. Therefore, asset bubbles can be regarded as a psychological phenomenon, and are actually the results of the psychological changing process of noise traders.

关 键 词：Noise trading Overreaction Asset Pricing Bubbles 

分 类 号：F0[经济管理—政治经济学]