Price Drift as an Outcome of Differences in Higher-Order Beliefs

• 成果类型: Article
• 署名作者: Banerjee, Snehal; Kaniel, Ron; Kremer, Ilan
• 署名单位: Northwestern University; Duke University; Stanford University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp014
• 发表日期: 2009
• 页码: 3707
• 关键词: cross-section; BEHAVIOR; MARKET; expectations; equilibrium; INFORMATION; MODEL

摘要

Motivated by the insight of Keynes (1936) on the importance of higher-order beliefs in financial markets, we examine the role of such beliefs in generating drift in asset prices. we show that in a dynamic setting, a higher-order difference of opinions is necessary for heterogeneous beliefs to generate price drift. Such drift does not arise in standard difference of opinion models, since investors' beliefs are assumed to be common knowledge. Our results stand in contrast to those of Allen, Morris, and Shin (2006) and others, as we argue that in rational expectation equilibria, heterogeneous beliefs, do not lead to price drift.