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- Title
Massively Confused Investors Making Conspicuously Ignorant Choices (MCI–MCIC).
- Authors
Rashes, Michael S.
- 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.
- Subjects
INVESTORS; STOCKS (Finance); TICKER symbols; ARBITRAGE; MCI Communications Corp.; FINANCE; PRICES of securities; INVESTMENTS; MARKET volatility; STOCK prices; SECURITIES -- Abbreviations; MUTUAL funds
- Publication
Journal of Finance (Wiley-Blackwell), 2001, Vol 56, Issue 5, p1911
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/0022-1082.00394