Investor horizon and noise in asset prices PDF
Preview Investor horizon and noise in asset prices
MIT LIBRARIES 3 1080 007227b! 1 S (uBfuytiES 5 HD28 M414 • no. 91 WORKING PAPER ALFRED SLOAN SCHOOL OF MANAGEMENT P. Investor Horizon and Noise in Asset Prices Ravi Bhushan Sloan School ofManagement - M.I.T. David P. Brown Indiana University Antonio Mello Sloan School ofManagement - M.I.T. WP# 3306-91-EFA June 1991 MASSACHUSETTS INSTITUTE OF TECHNOLOGY 50 MEMORIAL DRIVE CAMBRIDGE, MASSACHUSETTS 02139 ~~~ £>i Investor Horizon and Noise in Asset Prices Ravi Bhushan Sloan School ofManagement - M.I.T. David P. Brown Indiana University Antonio Mello Sloan School of Management - M.I.T. WP# 3306-91-EFA June 1991 . INVESTOR HORIZON AND NOISE IN ASSET PRICES* Ravi Bhushan Massachusetts Institute of Technology David P Brown . Indiana University Antonio S. Mello Massachusetts Institute of Technology November 1990 Last Revised: June 1991 We would like to thank the workshop participants at Indiana University, London Business School, M.I.T., and the University of Nebraska for many helpful comments. Much of the analysis in this paper was accomplished with the help of MACSYMA (TM) k Please address all correspondence to: Ravi Bhushan, E52-325F, Sloan School of Management, M.I.T., Cambridge, MA 02139. Dewey mTtTub SEP \ 1991
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