Rational Speculators, Contrarians, and Excess Volatility
将向量自回归方法应用于异质代理人资产定价模型，发现加入理性投机者和逆向投资者能显著提升模型复制市场波动的能力，逆向投资者可解释1990年代泡沫等极端波动。
The vector autoregressive approach for testing present value models is applied to a heterogeneous-agent asset pricing model using historical observations of the S&P 500 index. Besides fundamentalists, who value assets according to expected dividends, the model features rational and contrarian speculators. Agents choose their strategy based on evolutionary considerations. Supplementing the standard present value model with speculative agents dramatically improves the model's ability to replicate observed market dynamics. In particular, the existence of contrarians can explain some of the most volatile episodes including the 1990s bubble, suggesting this was not a rational bubble. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2014.1937 . This paper was accepted by Itay Goldstein, finance.