Financial Markets Where Traders Neglect the Informational Content of Prices

• 成果类型: Article
• 署名作者: Eyster, Erik; Rabin, Matthew; Vayanos, Dimitri
• 署名单位: University of London; London School Economics & Political Science; Harvard University; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12729
• 发表日期: 2019
• 页码: 371-399
• 关键词: rational-expectations; aggregation; overconfidence; opinion; volume; RISK; LAW

摘要

We model a financial market where some traders of a risky asset do not fully appreciate what prices convey about others' private information. Markets comprising solely such cursed traders generate more trade than those comprising solely rationals. Because rationals arbitrage away distortions caused by cursed traders, mixed markets can generate even more trade. Per-trader volume in cursed markets increases with market size; volume may instead disappear when traders infer others' information from prices, even when they dismiss it as noisier than their own. Making private information public raises rational and dismissive volume, but reduces cursed volume given moderate noninformational trading motives.