Counterfactual Thinking, Trading, and Market Inefficiency
Counterfactual Thinking, Trading, and Market Inefficiency
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反事实思维、交易和市场低效率
DOI：
10.11167/jbef.15.s9
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发表时间：
2022
期刊：
影响因子：
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通讯作者：
Jie Qin
中科院分区：
文献类型：
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作者：
Hoshikawa Takeshi;Inagaki Kazuyuki;石原俊時;松中学;グスタフ・カッセル;三浦 壮;清水 剛;K.セーレン;橋口勝利;竹野学;岩井克人・スズキトモ・清水剛;杉本弘幸;小林延人;杉本弘幸;橋口 勝利;竹野学;Jie Qin
本文在一个噪声理性预期模型中考察了反事实思维对资产定价和市场效率的影响。具有反事实思维的情绪化交易者与知情和不知情的理性交易者进行股票交易。存在一个均衡，其中对情绪交易者的反事实的冲击被汇总并被纳入股票价格。反事实思维降低了股票市场的信息效率。交易者的反事实思维越强，或者反事实冲击的噪音越大，价格信息含量就越低。反事实思维也会降低价格反应和市场流动性。
This study examines the effects of counterfactual thinking on asset pricing and market efficiency in a noisy rational expectation model. Emotional traders with counterfactual thinking trade an equity with informed and uninformed rational traders. An equilibrium exists wherein shocks to emotional traders’ counterfactuals are aggregated and are incorporated into equity price. Counterfactual thinking reduces the informational efficiency of the equity market. The stronger traders’ counterfactual thinking, or the noisier the shocks to counterfactuals are, the lower the price informativeness. Counterfactual thinking also reduces price responsiveness and market liquidity.