The Beauty Contest and Short-Term Trading

• 成果类型: Article
• 署名作者: Cespa, Giovanni; Vives, Xavier
• 署名单位: City St Georges, University of London; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12279
• 发表日期: 2015
• 页码: 2099-2153
• 关键词: rational-expectations equilibrium; multiple equilibria; Price volatility; MARKET; INFORMATION; liquidity; MODEL; complementarities; INVESTMENT; investors

摘要

Short-termism need not breed informational price inefficiency even when generating beauty contests. We demonstrate this claim in a two-period market with persistent liquidity trading and risk-averse, privately informed, short-term investors and find that prices reflect average expectations about fundamentals and liquidity trading. Informed investors engage in retrospective learning to reassess inferences (about fundamentals) made during the trading game's early stages. This behavior introduces strategic complementarities in the use of information and can yield two stable equilibria that can be ranked in terms of liquidity, volatility, and informational efficiency. We derive implications that explain market anomalies as well as empirical regularities.