Massively Confused Investors Making Conspicuously Ignorant Choices Export

@article{citeulike:3270957, abstract = {This paper examines the comovement of stocks with similar ticker symbols. For one such pair of firms, there is a significant correlation between returns, volume, and volatility at short frequencies. Deviations from "fundamental value" tend to be reversed within several days, although there is some evidence that the return comovement persists for longer horizons. Arbitrageurs appear to be limited in their ability to eliminate these deviations from fundamentals. This anomaly allows the observation of noise traders and their effect on stock prices independent of changes in information and expectations}, author = {Rashes, Michael S.}, citeulike-article-id = {3270957}, journal = {The Journal of Finance}, keywords = {behavioralfinance}, month = {October}, number = {5}, pages = {1911--1927}, posted-at = {2008-09-16 04:34:46}, priority = {5}, title = {Massively Confused Investors Making Conspicuously Ignorant Choices}, volume = {56}, year = {2001} }

TY - JOUR ID - citeulike:3270957 L3 - citeulike-article-id:3270957 N2 - This paper examines the comovement of stocks with similar ticker symbols. For one such pair of firms, there is a significant correlation between returns, volume, and volatility at short frequencies. Deviations from "fundamental value" tend to be reversed within several days, although there is some evidence that the return comovement persists for longer horizons. Arbitrageurs appear to be limited in their ability to eliminate these deviations from fundamentals. This anomaly allows the observation of noise traders and their effect on stock prices independent of changes in information and expectations IS - 5 JF - The Journal of Finance EP - 1927 TI - Massively Confused Investors Making Conspicuously Ignorant Choices VL - 56 SP - 1911 KW - behavioralfinance AU - Rashes, Michael PY - 2001/10// ER -