全球智库信息集成服务系统(G2TT): Financial Markets where Traders Neglect the Informational Content of Prices

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w21224
来源ID	Working Paper 21224
	Financial Markets where Traders Neglect the Informational Content of Prices
	Erik Eyster; Matthew Rabin; Dimitri Vayanos
发表日期	2015-06-01
出版年	2015
语种	英语
摘要	We present a model of a financial market where some traders are "cursed" when choosing how much to invest in a risky asset, failing to fully take into account what prices convey about others' private information. Cursed traders put more weight on their private signals than rational traders. But because they neglect that the price encodes other traders' information, prices depend less on private signals and more on public signals than rational-expectation-equilibrium (REE) prices. Markets comprised entirely of cursed traders generate more trade than those comprised entirely of rationals; mixed markets can generate even more trade, as rationals employ momentum-trading strategies to exploit cursed traders. We contrast our results to other models of departures from REE and show that per-trader volume with cursed traders increases when the market becomes large, while natural forms of overconfidence predict that volume should converge to zero.
主题	Microeconomics ; General Equilibrium ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w21224
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/578899
推荐引用方式 GB/T 7714	Erik Eyster,Matthew Rabin,Dimitri Vayanos. Financial Markets where Traders Neglect the Informational Content of Prices. 2015.