Expectations and Learning from Prices

• 成果类型: Article
• 署名作者: Bastianello, Francesca; Fontanier, Paul
• 署名单位: University of Chicago; Yale University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdae059
• 发表日期: 2025
• 页码: 1341-1374
• 关键词: institutional investors; information aggregation; presidential-address; correlation neglect; demand curves; stock-prices; models; overconfidence; equilibrium; volatility

摘要

We study mislearning from equilibrium prices, and contrast this with mislearning from exogenous fundamentals. We micro-found mislearning from prices with a psychologically founded theory of Partial Equilibrium Thinking (PET), where traders learn fundamental information from prices, but fail to realize others do so too. PET leads to over-reaction, and upward sloping demand curves, thus contributing to more inelastic markets. The degree of individual-level over-reaction and the extent of inelasticity vary with the composition of traders, and with the informativeness of new information. More generally, unlike mislearning from fundamentals, mislearning from prices (i) generates a two-way feedback between prices and beliefs that can provide an arbitrarily large amount of amplification and (ii) can rationalize both over-reaction and more inelastic markets. The two classes of biases are not mutually exclusive. Instead, they interact in very natural ways, and mislearning from prices can vastly amplify mislearning from fundamentals.