The Social Cost of Near-Rational Investment

• 成果类型: Article
• 署名作者: Hassan, Tarek A.; Mertens, Thomas M.
• 署名单位: University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20110433
• 发表日期: 2017
• 页码: 1059-1103
• 关键词: business-cycle; stock-market; long-run; corporate-investment; asset markets; INFORMATION; MODEL; expectations; price; RISK

摘要

We show that the stock market may fail to aggregate information even if it appears to be efficient, and that the resulting decrease in the information content of prices may drastically reduce welfare. We solve a macroeconomic model in which information about fundamentals is dispersed and households make small, correlated errors when forming expectations about future productivity. As information aggregates in the market, these errors amplify and crowd out the information content of stock prices. When prices reflect less information, the conditional variance of stock returns rises, causing an increase in uncertainty and costly distortions in consumption, capital accumulation, and labor supply.