This study examines price disagreements and adjustments between actual futures prices and options-implied futures prices in an elaborate setting. We identify which market triggers each type of price disagreement and find that the market that initiates the disagreement adjusts more to eliminate...

This study examines price disagreements and adjustments between actual futures prices and options-implied futures prices in an elaborate setting. We identify which market triggers each type of price disagreement and find that the market that initiates the disagreement adjusts more to eliminate...

We demonstrate that a broad set of asset pricing factors (anomalies) are significantly exposed to "noise trader risk," and the noise trader risk is priced in factor premia. We first confirm that mutual funds' flow-induced trades of factors are uninformed as they generate a large price impact on...

We present an agent-based model (ABM) of a financial market with n 1 risky assets, whose price dynamics result from the interaction between rational fundamentalists and trend following imitative noise traders. The interactions and opinion formation of the noise traders are described by an...