Forecasting the forecasts of others: Implications for asset pricing

• 成果类型: Article
• 署名作者: Makarov, Igor; Rytchkov, Oleg
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of London; London Business School
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2012.01.020
• 发表日期: 2012
• 页码: 941-966
• 关键词: Asset pricing; asymmetric information; Higher order expectations; momentum

摘要

We study the properties of rational expectation equilibria (REE) in dynamic asset pricing models with heterogeneously informed agents. We show that under mild conditions the state space of such models in REE can be infinite dimensional. This result indicates that the domain of analytically tractable dynamic models with asymmetric information is severely restricted. We also demonstrate that even though the serial correlation of returns is predominantly determined by the dynamics of stochastic equity supply, under certain circumstances asymmetric information can generate positive autocorrelation of returns. (C) 2012 Elsevier Inc. All rights reserved.