Noise Trading and Asset Pricing Factors

The authors thank Bronson Argyle, Itzhak Ben-David, Philip Bond, Jaewon Choi, Zhi Da, Darrell Duffie, James O’Donovan, Ralph Koijen, Lukas Kremens, Juhani Linnainmaa, Dong Lou, Jiacui Li, Hanno Lustig, David Ng, Maureen O’Hara, Daniel Schmidt, Stephan Siegel, Yangru Wu, Jianfeng Yu, Frank Yu, Yao Zeng, and seminar participants at Cornell University, the University of Southern California, the University of Washington, the University of Colorado Boulder, Monash University, Deakin University, the University of Technology Sydney, Tsinghua University (School of Economics and Management), Renmin University of China, Texas Tech University, Stockholm Business School, Shanghai Advanced Institute of Finance, The University of Hong Kong, Hong Kong Baptist University, Chinese University of Hong Kong Shenzhen, Fudan Fanhai, and the Central University of Economics and Finance, as well as participants at the 2021 China International Conference in Finance, the 2020 Western Finance Association Meeting, the 2020 World Symposium on Investment Research, the 7th International Young Finance Scholar’s Conference, the Lancaster Factor Investing Conference, the 7th Annual Financial Research Network Asset Pricing Meeting (at Melbourne), and the 2020 Midwest Finance Association Meeting. A previous version of this manuscript was circulated under the title “Flow-Induced Trades and Asset Pricing Factors.”