| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10007 |
| DP10007 The Social Cost of Near-Rational Investment | |
| Tarek Hassan; Thomas M. Mertens | |
| 发表日期 | 2014-06-01 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We show that the stock market may fail to aggregate information even if it appears to be efficient and that the resulting decrease in the information content of stock prices may drastically reduce welfare. We solve a macroeconomic model in which information about fundamentals is dispersed and households make small, correlated errors when forming expectations about future productivity. As information aggregates in the market, these errors amplify and crowd out the information content of stock prices. When stock prices reflect less information, the conditional variance of stock returns rises. This increase in financial risk distorts the long-run level of capital accumulation, and causes costly (first-order) distortions in the long-run level of consumption. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Dispersed information Information aggregation Information externality Stock market dysfunctionality |
| URL | https://cepr.org/publications/dp10007 |
| 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/538836 |
| 推荐引用方式 GB/T 7714 | Tarek Hassan,Thomas M. Mertens. DP10007 The Social Cost of Near-Rational Investment. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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