Signal or noise? Uncertainty and learning about whether other traders are informed

• 成果类型: Article
• 署名作者: Banerjee, Snehal; Green, Brett
• 署名单位: Northwestern University; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.05.003
• 发表日期: 2015
• 页码: 398-423
• 关键词: Rational expectations; Difference of opinions; Sentiment; volatility clustering; Leverage effect

摘要

We develop a model where some investors are uncertain whether others are trading on informative signals or noise. Uncertainty about others leads to a nonlinear price that reacts asymmetrically to news. We incorporate this uncertainty into a dynamic setting where traders gradually learn about others and show that it generates empirically relevant return dynamics: expected returns are stochastic but predictable, and volatility exhibits clustering and the leverage effect. The model nests both the rational expectations (RE) and differences of opinions (DO) approaches and highlights a link between disagreement about fundamentals and uncertainty about other traders. (C) 2015 Elsevier B.V. All rights reserved.