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Sep 28, 2018
ICEF/LFE Research Seminar by Joel Peress (INSEAD)
On Thursday, September 27 at 4.40 pm, room 3211 (Shabolovka str. 26) ICEF and LFE held the Research Seminar.
Speaker: Joel Peress (INSEAD)
Theme: "Glued to the TV: Distracted Noise Traders and Stock Market Liquidity" joint with Daniel Schmidt

Venue: Shabolovka st., 26, room 3211

Abstract: We study the impact of noise traders’ limited attention on financial markets. We exploit episodes of sensational news (exogenous to the market) that distract noise traders. On “distraction days”, trading activity, liquidity, and volatility decrease, and prices reverse less among stocks owned predominantly by noise traders. These outcomes contrast sharply with those that result from the inattention of informed speculators and market makers, and are consistent with noise traders mitigating adverse selection risk. We discuss the evolution of these outcomes over time and the influence of technology.

 


ICEF seminars