Dynamic Trading and Asset Prices: Keynes vs. Hayek
Dynamic Trading and Asset Prices: Keynes vs. Hayek
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动态交易和资产价格：凯恩斯与哈耶克
DOI：
10.1093/restud/rdr040
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Cespa G
中科院分区：
文献类型：
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作者：
Cespa G
本文研究了一个有长期投资者的竞争、噪声、动态资产定价均衡模型中价格、信息和预期的动态变化。我们认为，事实上，价格可以得分更差或更好的预测基本面的共识是一个产品的内生短期投机。对于一个给定的正水平的剩余支付不确定性，如果流动性交易显示低持续性，理性投资者的行为像做市商和适应订单流和价格更远离基本面相比，共识。这定义了一个“凯恩斯”区域;互补区域是“哈耶克”，理性投资者追逐趋势，价格系统性地比平均预期更接近基本面。没有剩余不确定性和流动性交易遵循随机游走的标准情况是在两个区域的边界上，并确定了理性投资者遵守凯恩斯集中于资产“长期前景和那些唯一”的格言的深层参数集。分析还解释了股票回报的动量和反转，以及调节和趋势追逐策略与这些现象的不同。
We investigate the dynamics of prices, information, and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of endogenous short-term speculation. For a given positive level of residual pay-off uncertainty, if liquidity trades display low persistence, rational investors act like market makers and accommodate the order flow and prices are farther away from fundamentals compared to consensus. This defines a “Keynesian” region; the complementary region is “Hayekian” in that rational investors chase the trend and prices are systematically closer to fundamentals than average expectations. The standard case of no residual uncertainty and liquidity trading following a random walk is on the frontier of the two regions and identifies the set of deep parameters for which rational investors abide by Keynes' dictum of concentrating on an asset “long-term prospects and those only”. The analysis also explains momentum and reversal in stock returns and how accommodation and trend-chasing strategies differ from these phenomena.