An Approach to Asset Pricing Under Incomplete and Diverse Perceptions

• 成果类型: Article
• 署名作者: Eyster, Erik; Piccione, Michele
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA10499
• 发表日期: 2013
• 页码: 1483-1506
• 关键词: SPECULATIVE INVESTOR BEHAVIOR; MARKET

摘要

We model a dynamic, competitive market, where in every period, risk-neutral traders trade a one-period bond against an infinitely lived asset, with limited short-selling of the long-term asset. Traders lack structural knowledge and use different incomplete theories, all of which give statistically correct beliefs about next period's market price of the long-term asset. The more theories there are in the market, the higher is the equilibrium price of the long-term asset. Investors with more complete theories do not necessarily earn higher returns than those with less complete ones, who can earn above the risk-free rate. We provide two necessary conditions for a trader to earn above the risk-free rate.