Feedback effects and asset prices

• 成果类型: Article
• 署名作者: Ozdenoren, Emre; Yuan, Kathy
• 署名单位: University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01378.x
• 发表日期: 2008
• 页码: 1939-1975
• 关键词: rational-expectations equilibrium; stock-prices; INFORMATION; MARKETS; INVESTMENT; cycles; crises; aggregation; OUTSIDERS; INSIDERS

摘要

Feedback effects from asset prices to firm cash flows have been empirically documented. This finding raises a question for asset pricing: How are asset prices determined if price affects fundamental value, which in turn affects price ? In this environment, by buying assets that others are buying, investors ensure high future cash flows for the firm and subsequent high returns for themselves. Hence, investors have an incentive to coordinate, which may generate self-fulfilling beliefs and multiple equilibria. Using insights from global games, we pin down investors' beliefs, analyze equilibrium prices, and show that strong feedback leads to higher excess volatility.