Speculative trade under ambiguity

• 成果类型: Article
• 署名作者: Werner, Jan
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2021.105200
• 发表日期: 2022
• 关键词: Speculative trade; ambiguity; Speculative bubbles

摘要

Ambiguous beliefs may lead to speculative trade and speculative bubbles. We demonstrate this by showing that the classical Harrison and Kreps (1978) example of speculative trade among agents with heterogeneous beliefs can be replicated with agents having common but ambiguous beliefs. More precisely, we show that the same asset prices and pattern of trade can be obtained in equilibrium with agents' having recursive multiple-prior expected utilities with common set of priors. While learning about the true probabilities of dividends makes speculative bubbles vanish in the long run under heterogeneous beliefs, it may not do so under common ambiguous beliefs. Ambiguity need not disappear with learning over time, and speculative bubbles may persist. (C) 2021 Elsevier Inc. All rights reserved.