Dynamic Trading and Asset Prices: Keynes vs. Hayek

• 成果类型: Article
• 署名作者: Cespa, Giovanni; Vives, Xavier
• 署名单位: City St Georges, University of London
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdr040
• 发表日期: 2012
• 页码: 539-580
• 关键词: information; MARKET; expectations; equilibrium; MODEL

摘要

We investigate the dynamics of prices, information, and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of endogenous short-term speculation. For a given positive level of residual pay-off uncertainty, if liquidity trades display low persistence, rational investors act like market makers and accommodate the order flow and prices are farther away from fundamentals compared to consensus. This defines a Keynesian region; the complementary region is Hayekian in that rational investors chase the trend and prices are systematically closer to fundamentals than average expectations. The standard case of no residual uncertainty and liquidity trading following a random walk is on the frontier of the two regions and identifies the set of deep parameters for which rational investors abide by Keynes' dictum of concentrating on an asset long-term prospects and those only. The analysis also explains momentum and reversal in stock returns and how accommodation and trend-chasing strategies differ from these phenomena.