G2TT
来源类型Discussion paper
规范类型论文
来源IDDP6668
DP6668 Procrastination and Impatience
Luigi Zingales; Paola Sapienza; Ernesto Reuben
发表日期2008-01-25
出版年2008
语种英语
摘要We examine formally Keynes' idea that higher order beliefs can drive a wedge between an asset price and its fundamental value based on expected future payoffs. Higher order expectations add an additional term to a standard asset pricing equation. We call this the higher order wedge, which depends on the difference between higher and first order expectations of future payoffs. We analyze the determinants of this wedge and its impact on the equilibrium price. In the context of a dynamic noisy rational expectations model, we show that the higher order wedge depends on first order expectational errors about the mean set of private signals. This in turn depends on expectational errors about future asset payoffs based on errors in public signals. We show that the higher order wedge reduces asset price volatility and disconnects the price from the present value of future payoffs. The impact of the higher order wedge on the equilibrium price can be quantitatively large.
主题Financial Economics ; International Macroeconomics
关键词Asset pricing Beauty contest Higher order beliefs
URLhttps://cepr.org/publications/dp6668
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/535505
推荐引用方式
GB/T 7714
Luigi Zingales,Paola Sapienza,Ernesto Reuben. DP6668 Procrastination and Impatience. 2008.
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