Nonfundamental Speculation Revisited
成果类型：
Article
署名作者：
Yang, Liyan; Zhu, Haoxiang
署名单位：
University of Toronto; Peking University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/jofi.12548
发表日期：
2017
页码：
2759-2772
关键词：
摘要：
We show that a linear pure strategy equilibrium may not exist in the model of Madrigal (1996), contrary to the claim of the original paper. This is because Madrigal's characterization of a pure strategy equilibrium omits a second-order condition. If the nonfundamental speculator's information about noise trading is sufficiently precise, a linear pure strategy equilibrium fails to exist. In parameter regions where a pure strategy equilibrium does exist, we identify a few calculation errors in Madrigal (1996) that result in misleading implications.