Price Drift as an Outcome of Differences in Higher-Order Beliefs

被引:77
作者
Banerjee, Snehal [1 ]
Kaniel, Ron [2 ]
Kremer, Ilan [3 ]
机构
[1] Northwestern Univ, JL Kellogg Grad Sch Management, Evanston, IL 60201 USA
[2] Duke Univ, Fuqua Sch Business, Durham, NC 27706 USA
[3] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA
关键词
CROSS-SECTION; BEHAVIOR; MARKET; EXPECTATIONS; EQUILIBRIUM; INFORMATION; MODEL;
D O I
10.1093/rfs/hhp014
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Motivated by the insight of Keynes (1936) on the importance of higher-order beliefs in financial markets, we examine the role of such beliefs in generating drift in asset prices. we show that in a dynamic setting, a higher-order difference of opinions is necessary for heterogeneous beliefs to generate price drift. Such drift does not arise in standard difference of opinion models, since investors' beliefs are assumed to be common knowledge. Our results stand in contrast to those of Allen, Morris, and Shin (2006) and others, as we argue that in rational expectation equilibria, heterogeneous beliefs, do not lead to price drift.
引用
收藏
页码:3707 / 3734
页数:28
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