| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12360 |
| DP12360 Costly Interpretation of Asset Prices | |
| Xavier Vives; Liyan Yang; Jordi Mondria | |
| 发表日期 | 2017-10-10 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 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. |
| 主题 | Financial Economics |
| 关键词 | Investor sophistication Price momentum Asset prices Complementarity |
| URL | https://cepr.org/publications/dp12360-1 |
| 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/541170 |
| 推荐引用方式 GB/T 7714 | Xavier Vives,Liyan Yang,Jordi Mondria. DP12360 Costly Interpretation of Asset Prices. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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