An Approach to Asset Pricing Under Incomplete and Diverse Perceptions
研究了风险中性交易者在有限卖空约束下，使用不同不完全理论进行交易的市场，发现理论越多长期资产价格越高，且不完全理论持有者可能获得高于无风险利率的收益。
We model a dynamic, competitive market, where in every period, risk-neutral traders trade a one-period bond against an infinitely lived asset, with limited short-selling of the long-term asset. Traders lack structural knowledge and use different “incomplete theories,” all of which give statistically correct beliefs about next period's market price of the long-term asset. The more theories there are in the market, the higher is the equilibrium price of the long-term asset. Investors with more complete theories do not necessarily earn higher returns than those with less complete ones, who can earn above the risk-free rate. We provide two necessary conditions for a trader to earn above the risk-free rate.