Beliefs Aggregation and Return Predictability

• 成果类型: Article
• 署名作者: Kyle, Albert S. S.; Obizhaeva, Anna A. A.; Wang, Yajun
• 署名单位: University System of Maryland; University of Maryland College Park; New Economic School; City University of New York (CUNY) System; Baruch College (CUNY); City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13195
• 发表日期: 2023
• 页码: 427-486
• 关键词: Heterogeneous beliefs; momentum; expectations; underreaction; equilibrium; INFORMATION; RISK

摘要

We study return predictability using a model of speculative trading among competitive traders who agree to disagree about the precision of private information. Although traders apply Bayes' Law consistently, returns are predictable. In addition to trading on long-term fundamental value, traders also trade on perceived short-term opportunities arising from foreseen future disagreement, as in a Keynesian beauty contest. Contradicting conventional wisdom, this short-term speculation dampens price fluctuations and generates time-series momentum. Model calibration shows quantitatively realistic patterns of return dynamics. Consistent with empirical evidence, our model predicts more pronounced momentum for stocks with higher trading volume.