Financial Markets Where Traders Neglect the Informational Content of Prices
研究了部分交易者不完全理解价格所传递的私人信息时，市场交易量如何变化，发现混合市场交易量更大，且公开信息对不同类型交易者的影响不同。
ABSTRACT We model a financial market where some traders of a risky asset do not fully appreciate what prices convey about others' private information. Markets comprising solely such “cursed” traders generate more trade than those comprising solely rationals. Because rationals arbitrage away distortions caused by cursed traders, mixed markets can generate even more trade. Per‐trader volume in cursed markets increases with market size; volume may instead disappear when traders infer others' information from prices, even when they dismiss it as noisier than their own. Making private information public raises rational and “dismissive” volume, but reduces cursed volume given moderate noninformational trading motives.