Sentiment and Speculation in a Market with Heterogeneous Beliefs

• 成果类型: Article
• 署名作者: Martin, Ian W. R.; Papadimitriou, Dimitris
• 署名单位: University of London; London School Economics & Political Science; University of London; King's College London
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20200505
• 发表日期: 2022
• 页码: 2465-2517
• 关键词: risk-aversion; prices; equilibrium; INFORMATION; volatility; dispersion; selection; DISAGREEMENT; preferences; uncertainty

摘要

We present a model featuring risk-averse investors with heterogeneous beliefs. Individuals who are correct in hindsight-whether through luck or judgment-get rich, so sentiment is bullish following good news and bearish following bad news. Sentiment makes extreme outcomes far more important for pricing and has asymmetric effects on left- and right-skewed assets. Investors take speculative positions that can conflict with their fundamental views. Moderate investors are contrarian: they trade against excess volatility created by extremists. All investors view speculation as socially costly; but they also think it is in their self-interest, and the market can collapse entirely if speculation is banned.