{"title":"Noise Trading: An Ad-based Measure","authors":"Vivian W. Fang, Joshua M. Madsen, Xinyuan Shao","doi":"10.2139/ssrn.3271851","DOIUrl":null,"url":null,"abstract":"This paper proposes a novel measure of noise trading that aims to capture uninformed retail trading. The measure, an indicator of whether the firm placed advertisement(s) in the Wall Street Journal seven calendar days earlier, is motivated by evidence that retail trading spikes seven days after ad days, that firms regularly place ads at weekly intervals, and that weekly ads frequently contain duplicate images. This ad-based measure is positively associated with informed trading and stock price volatility. Collectively, our results provide broad support for the theoretical predictions of Collin-Dufresne and Fos (2016, Econometrica).","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"191 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2020-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3271851","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 7
Abstract
This paper proposes a novel measure of noise trading that aims to capture uninformed retail trading. The measure, an indicator of whether the firm placed advertisement(s) in the Wall Street Journal seven calendar days earlier, is motivated by evidence that retail trading spikes seven days after ad days, that firms regularly place ads at weekly intervals, and that weekly ads frequently contain duplicate images. This ad-based measure is positively associated with informed trading and stock price volatility. Collectively, our results provide broad support for the theoretical predictions of Collin-Dufresne and Fos (2016, Econometrica).
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