Does Belief Heterogeneity Explain Asset Prices: The Case of the Longshot Bias
研究了竞争性资产市场中信念差异如何导致冷门偏好偏差，即低概率证券被高估、高概率证券被低估，并利用博彩市场数据验证了包含理性交易者和噪音交易者的两类型模型优于基于偏好的解释。
This paper studies belief heterogeneity in a benchmark competitive asset market: a market for Arrow-Debreu securities. We show that differences in agents ’ beliefs lead to a systematic pricing pattern, the favorite longshot bias (FLB): securities with a low payout probability are overpriced while securities with high probability payout are underpriced. We apply demand estimation techniques to betting market data, and find that the observed FLB is explained by a two-type population consisting of canonical traders, who hold virtually correct beliefs and are the majority type in the population (70%); and noise traders exhibiting significant belief dispersion. Furthermore, using formal model comparisons and also exploiting variation in public information across markets in our dataset, we show that our belief heterogeneity model empirically outperforms existing preference-based explanations of the FLB, such as risk-loving or prospect theory.