The Price Impact and Survival of Irrational Traders

By Leonid Kogan, Stephen A. Ross, Jiang Wang, Mark M. Westerfield. 2006

331 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/543129f0e283c5195cb5e710e81ccf15d33de2bf

Citations in the corpus

• An Examination of Heterogeneous Beliefs With a Short-Sale Constraint in a Dynamic Economy (2008, neutral): “This is indeed the case in the work of Lintner (1969), Miller (1977), and Jarrow (1980) who study one period models with heterogeneous beliefs and an exogenous interest rate.”
• Investor Sentiment and REIT Returns (2009, neutral): “A partial list of these models include De Long et al. (1990), Campbell and Kyle (1993), Hirshleifer et al. (2006), Dumas et al. (2005) and Kogan et al. (2006) .”
• Why Does Return Predictability Concentrate in Bad Times (2017, neutral): “The disagreement pattern varies depending on whether investors are overconfident (e.g., Scheinkman and Xiong (2003)), whether they have di↵erent initial priors (e.g., Detemple and Murthy (1994)), or whether they have dogmatic beliefs (e.g., Kogan et al. (2006)).”
• The role of market fundamentals and speculation in recent price changes for crude oil (2011, neutral): “These results are extended by Kogan et al. (2006), who find that noise traders can affect asset prices even when their wealth shrinks to low levels and that their impact does not depend on their long-run survival.”
• Belief Disagreements and Collateral Constraints (2013, neutral): “In addition to the mentioned papers, an incomplete list includes Jones and Lamont (2001), Chen, Hong and Stein (2002), Diether, Malloy and Scherbina (2002), Ofek and Richardson (2003), Lamont and Stein (2004). Papers that analyze speculative bubbles include Allen, Morris, and Postlewaite (1993), Mor”
• Individual Investor Perceptions and Behavior During the Financial Crisis (2013, neutral): “It is important to also study the experiences of this group of investors, as their behavior can affect asset prices (Lee et al., 1991; Hirshleifer, 2001; Kumar and Lee, 2006; Kogan et al., 2006), return volatility (Foucault et al.”
• Costly Information Processing: Evidence from Earnings Announcements (2008, neutral): “Much of the debate on the long-run status of market efficiency has focused on economic agents (DeLong et al. (1991), Kogan et al. (2006))—namely that irrational agents disappear through a natural selection process (e.g., they either learn or go broke) and that rational agents can spot…”
• Rare Disasters and Risk Sharing with Heterogeneous Beliefs (2011, neutral): “Third, similar to the link between asset prices and the size of the market for riskless lending in Longstaff and Wang (2008), our model predicts a non-monotonic relationship between the equity premium and the size of the disaster insurance market. The disaster risk literature starts with the seminal”