| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7523 |
| DP7523 Integration of the North American economy and new-paradigm globalisation | |
| Richard Baldwin | |
| 发表日期 | 2009-10-25 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public information with respect to optimal statistical weights. Both phenomena, in turn, occur whenever traders speculate on short-run price movements. For a given, positive level of residual payoff uncertainty, over-reliance on public information obtains if noise trade displays low persistence. This defines a "Keynesian" region; the complementary region is "Hayekian" in that prices are systematically closer to fundamentals than average expectations. The standard case of no residual uncertainty and noise trading following a random walk is on the frontier of the two regions and identifies the set of deep parameters for which traders abide by Keynes' dictum of concentrating on an asset "long term prospects and those only." The analysis explains accommodation and trend chasing strategies as well as momentum and reversal. |
| 主题 | Financial Economics |
| 关键词 | Average expectations Efficient market hypothesis Higher order beliefs Long and short-term trading Momentum Opaqueness Over-reliance on public information Reversal |
| URL | https://cepr.org/publications/dp7523 |
| 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/536359 |
| 推荐引用方式 GB/T 7714 | Richard Baldwin. DP7523 Integration of the North American economy and new-paradigm globalisation. 2009. |
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