Non‐Fundamental Speculation
研究内幕交易者与“非基本面”投机者共存的市场，发现后者虽无私有信息但了解市场环境，其进入可能降低市场流动性和价格信息含量，且交易模式呈现趋势追逐和反转获利等特征。
ABSTRACT We study an intertemporal asset market where insiders coexist with “non‐fundamental” speculators. Non‐fundamental speculators possess no private information on fundamental values of assets, but have superior knowledge about some aspect of the market environment. We show that the entry of these (rational) speculators can lead to reductions in market liquidity and in the information content of prices, even in an efficient market. Also, equilibrium trades display patterns of empirical interest. For example, speculators appear to chase trends and lose money after market “overreactions,” while insiders trade as contrarians and profit after such overreactions.