Asset Prices in a Time Series Model with Perpetually Disparately Informed, Competitive Traders
Asset Prices in a Time Series Model with Perpetually Disparately Informed, Competitive Traders
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时间序列模型中的资产价格，交易者的消息永远不同且有竞争力
DOI：
10.2139/ssrn.932693
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发表时间：
2006
期刊：
影响因子：
--
通讯作者：
C. Whiteman
中科院分区：
文献类型：
--
作者：
Kenneth Kasa;Todd B. Walker;C. Whiteman
建立了一个具有持续异质信念的动态资产定价模型。该模型的特点是竞争性交易者接收有关潜在基本面过程的特殊信号。我们采用Futia（1981）的频域方法来推导基本面条件，以保证观察到的市场数据和潜在冲击对代理人信息集的映射不可逆。当这些条件得到满足时，代理人必须“预测其他人的预测”。本文提供了一个明确的分析表征所产生的高阶信念动态。这些额外的动态可以解释明显违反方差界和拒绝交叉方程的限制。
This paper develops a dynamic asset pricing model with persistent heterogeneous beliefs. The model features competitive traders who receive idiosyncratic signals about an underlying fundamentals process. We adapt Futia's (1981) frequency domain methods to derive conditions on the fundamentals that guarantee noninvertibility of the mapping between observed market data and the underlying shocks to agents' information sets. When these conditions are satisfied, agents must 'forecast the forecasts of others'. The paper provides an explicit analytical characterization of the resulting higher-order belief dynamics. These additional dynamics can explain apparent violations of variance bounds and rejections of cross-equation restrictions.