Costly Interpretation of Asset Prices

• 成果类型: Article
• 署名作者: Mondria, Jordi; Vives, Xavier; Yang, Liyan
• 署名单位: University of Toronto; University of Navarra; IESE Business School; University of Toronto; Peking University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3871
• 发表日期: 2022
• 页码: 52-74
• 关键词: INVESTOR SOPHISTICATION; Price momentum; asset prices; COMPLEMENTARITY

摘要

We propose a model in which investors cannot costlessly process information from asset prices. At the trading stage, investors are boundedly rational, and their interpretation of prices injects noise into the price, generating a source of endogenous noise trading. Our setup predicts price momentum and yields excessive return volatility and excessive trading volume. In an overall equilibrium, investors optimally choose sophistication levels by balancing the benefit of beating the market against the cost of acquiring sophistication. There can exist strategic complementarity in sophistication acquisition, leading to multiple equilibria.