Financial Speculators' Underperformance: Learning, Self‐Selection, and Endogenous Liquidity
构建了一个理性交易者通过交易学习的均衡模型，解释了多数个人投机者亏损、大投机者优于小投机者、业绩影响交易强度等实证规律，并发现学习产生内生流动性，降低买卖价差，但过度自信会损害所有交易者。
ABSTRACT We develop an equilibrium model of learning by rational traders to reconcile several empirical regularities: Cross sectionally, most individual speculators lose money; large speculators outperform small speculators; past performance positively affects subsequent trade intensity; most new traders lose money and cease speculation; and performance shows persistence. Learning from trading generates substantial endogenous liquidity, reducing bid–ask spreads and the impact of exogenous liquidity shocks on asset prices, but amplifying the effects of real shocks. Introducing slightly overconfident traders increases bid–ask spreads, hurting all traders. Finally, behavioral theories cannot reconcile all of these empirical regularities.