Beauty Contests and Iterated Expectations in Asset Markets
在风险厌恶、短视交易者和价格噪音的假设下，证明资产价格取决于对明日价格的平均预期的迭代，并说明平均信念不满足迭代期望定律如何帮助理解高阶信念在理性资产定价模型中的作用。
In a financial market where traders are risk averse and short lived and prices are noisy, asset prices today depend on the average expectation today of tomorrow's price. Thus (iterating this relationship) the date 1 price equals the date 1 average expectation of the date 2 average expectation of the date 3 price. This will not, in general, equal the date 1 average expectation of the date 3 price. We show how this failure of the law of iterated expectations for average belief can help understand the role of higher-order beliefs in a fully rational asset pricing model. Copyright 2006, Oxford University Press.