Feedback Effects and Asset Prices
实证发现资产价格会反馈影响公司现金流，本文研究这种反馈如何决定资产价格，发现投资者有协调动机，可能导致自我实现的信念和多均衡，强反馈会加剧超额波动。
ABSTRACT Feedback effects from asset prices to firm cash flows have been empirically documented. This finding raises a question for asset pricing: How are asset prices determined if price affects fundamental value, which in turn affects price? In this environment, by buying assets that others are buying, investors ensure high future cash flows for the firm and subsequent high returns for themselves. Hence, investors have an incentive to coordinate, which may generate self‐fulfilling beliefs and multiple equilibria. Using insights from global games, we pin down investors' beliefs, analyze equilibrium prices, and show that strong feedback leads to higher excess volatility.